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Understanding international stock market comovements: A comparison of developed and emerging markets

Peng Chen

International Review of Economics & Finance, 2018, vol. 56, issue C, 451-464

Abstract: We employ a Bayesian dynamic latent factor model to investigate the comovements of stock markets simultaneously across the world as well as across regions. The results indicate that a common global factor is a significantly important source of the fluctuations for most markets, providing evidence of the international stock market comovements. The roles of the global and regional factors, however, differ substantially across stock markets in different regions, as well as between developed and emerging markets. And the degree of a market's comovement with international stock markets is closely related with that of its country's integration into the global economy.

Keywords: Comovements; Global factor; Regional factor; Developed market; Emerging market (search for similar items in EconPapers)
JEL-codes: G15 F36 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:56:y:2018:i:c:p:451-464

DOI: 10.1016/j.iref.2017.12.004

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