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