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International Integration of Equity Markets and Contagion Effects

Paul Cashin (), Manmohan S. Kumar and Christopher McDermott ()

No 95/110, IMF Working Papers from International Monetary Fund

Abstract: This paper investigates empirically the degree of international integration of industrial and emerging country equity markets. It analyzes two issues: first, the extent to which equity prices have tended to move similarly across countries and regions in the long run; and second, the strength of cross-country “contagion” effects. The paper’s findings suggest that both intra-regional and inter-regional linkages across national equity markets have strengthened in recent years. In addition, using impulse response functions, the paper shows that cross-country contagion effects of country-specific shocks dissipate in a matter of weeks while contagion effects of global shocks take several months to unwind themselves.

Keywords: Capital markets; equity markets, cointegration, stock market, stock markets, national equity markets (search for similar items in EconPapers)
Date: 1995-11-01
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