Measuring stock market integration during the Gold Standard

Rebecca Stuart

Cliometrica, Journal of Historical Economics and Econometric History, 2024, vol. 18, issue 1, 191-220

Abstract: This paper uses a broad geographical sample of economies to study stock market integration during the classical Gold Standard. It is novel in estimating a common or “global” component of stock market returns across all countries in the sample and studying how individual markets co-move with this. Variations in the integration of individual exchanges often appear related to large domestic financial and political crises as idiosyncratic shocks were more common than they are today. The results suggest that although overall integration rose during this period, it was low compared to more recent data. The results are robust to alternative formulations of the global component and alternative measures of returns.

Keywords: Stock; returns; ·; Principal; components; analysis; ·; Gold; Standard (search for similar items in EconPapers)
JEL-codes: G1 N2 (search for similar items in EconPapers)
Date: 2024
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1007/s11698-023-00265-0 (application/pdf)
Access to full text is restricted to journal subscribers

Related works:
Journal Article: Measuring stock market integration during the Gold Standard (2024)
Working Paper: Measuring stock market integration during the Gold Standard (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:afc:cliome:v:18:y:2024:i:1:p:191-220

Access Statistics for this article

Cliometrica, Journal of Historical Economics and Econometric History is currently edited by Claude Diebolt, Dora Costa and Jean-Luc Demeulemeester

More articles in Cliometrica, Journal of Historical Economics and Econometric History from Association Française de Cliométrie (AFC) Contact information at EDIRC.
Bibliographic data for series maintained by ().