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Does Increased International Influence Cause Higher Stock Market Volatility?

John Hassler ()

Scandinavian Journal of Economics, 1999, vol. 101, issue 1, 1-9

Abstract: Increased international financial integration is likely to cause greater market interdependence. This may either reduce volatility or increase it, by adding a new source of noise. Based on Swedish data, the findings in this paper are that foreign influence on the stock market shows a clear, positive trend, while purely domestic factors have not become more volatile. The trendwise increase in volatility on the Swedish stock market can thus be attributed to increased foreign influence. JEL Classification: E44; F3; G1

Date: 1999
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Scandinavian Journal of Economics is currently edited by Richard Friberg, Matti Liski and Kjetil Storesletten

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