Economic integration and the comovement of stock returns

José Tavares

doi:10.1016/j.econlet.2009.01.016

Economic integration and the comovement of stock returns

José Tavares

NOVA School of Business and Economics (NOVA SBE)

Research output: Contribution to journal › Article › peer-review

33 Citations (Scopus)

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. (C) 2009 Elsevier B.V. All rights reserved.

Original language	English
Pages (from-to)	65-67
Journal	Economics Letters
Volume	103
Issue number	2
DOIs	https://doi.org/10.1016/j.econlet.2009.01.016
Publication status	Published - 1 Jan 2009

Keywords

Economic integration
Correlation of stock returns
Bilateral trade
Real exchange rate volatility
Asymmetry of output growth
Legal and political institutions

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10.1016/j.econlet.2009.01.016

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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. (C) 2009 Elsevier B.V. All rights reserved.",

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AB - 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. (C) 2009 Elsevier B.V. All rights reserved.

KW - Correlation

KW - industrial-structure

KW - Legal

KW - Bilateral

KW - political

KW - volatility

KW - output

KW - institutions

KW - Economic

KW - trade

KW - Asymmetry

KW - rate

KW - and

KW - of

KW - integration

KW - Real

KW - returns

KW - exchange

KW - growth

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KW - Correlation of stock returns

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KW - Real exchange rate volatility

KW - Asymmetry of output growth

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JO - Economics Letters

JF - Economics Letters

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ER -

Economic integration and the comovement of stock returns

Abstract

Keywords

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