EconPapers    
Economics at your fingertips  
 

Comovements in International Stock Markets

Andrea Beltratti and Claudio Morana ()

ICER Working Papers from ICER - International Centre for Economic Research

Abstract: In the paper monthly realized moments for stock market returns for the US, the UK, Germany and Japan are employed to assess the linkages holding across moments and markets over the period 1973-2004. In the light of the theoretical framework proposed in the paper, the results point to a progressive integration of the four stock markets, leading to increasing comovements in prices, returns, volatility and correlation. Evidence of a positive and non spurious linkage between volatility and correlation, and a trend increase in correlation coefficients over time, is also found. All the above mentioned linkages seem to be particularly strong for the US and Europe, while the persistent stagnation of the economy and the weak fun-damentals over the 1990s may have been the cause of the more idiosyncratic behavior of the Japanese stock market

Keywords: realized volatility; realized correlation; stock markets; financial integration; economic integration. (search for similar items in EconPapers)
JEL-codes: G1 G15 C32 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2006-07
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)
http://www.bemservizi.unito.it/repec/icr/wp2006/ICERwp3-06.pdf (application/pdf)

Related works:
Journal Article: Comovements in international stock markets (2008) Downloads
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:icr:wpicer:3-2006

Access Statistics for this paper

More papers in ICER Working Papers from ICER - International Centre for Economic Research Corso Unione Sovietica, 218bis - 10134 Torino - Italy. Contact information at EDIRC.
Bibliographic data for series maintained by Simone Pellegrino ().

 
Page updated 2020-09-19
Handle: RePEc:icr:wpicer:3-2006