Economic integration and the comovement of stock returns

Jose Tavares ()

Economics Letters, 2009, vol. 103, issue 2, 65-67

Abstract: We analyze how economic integration affects the cross-country comovements in stock returns, in developed and emerging markets. Bilateral trade intensity increases the correlation of returns, while real exchange rate volatility, the asymmetry of output growth and export dissimilarity decrease it.

Keywords: Economic; integration; Correlation; of; stock; returns; Bilateral; trade; Real; exchange; rate; volatility; Asymmetry; of; output; growth; Legal; and; political; institutions (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (36)

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Related works:
Working Paper: Economic Integration and the Co-movement of Stock Returns (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:103:y:2009:i:2:p:65-67

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