Global Stock Return Comovements: Trends and Determinants
Additional contact information
Kei-Ichiro Inaba: Bank of Japan
No 18-E-7, Bank of Japan Working Paper Series from Bank of Japan
This article analyses global stock return comovements for 37 advanced and emerging countries over the period 1996-2015. The article reports that the comovements were greater in advanced countries than in emerging ones, but increased more rapidly in emerging countries than in advanced ones. Such comovements had upward and downward trends in 23 and 7 of the sample countries, respectively. The driving forces behind these comovements were country fixed effects and country-specific time-varying factors. These factors include the increasing openness of international trade and finance, business climate, and institutional opaqueness, which latter two worked in line with an information-driven comovement theory. The time-varying factors also include indicators representing monetary policy and capital controls, supporting a policy implication of a global financial cycle hypothesis: a monetary policy dilemma.
Keywords: Financial globalisation; International portofolio diversification; Stock market comovements; Information-driven comovements; Global financial cycle (search for similar items in EconPapers)
JEL-codes: F3 G1 O1 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:boj:bojwps:wp18e07
Access Statistics for this paper
More papers in Bank of Japan Working Paper Series from Bank of Japan Contact information at EDIRC.
Bibliographic data for series maintained by Bank of Japan ().