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, volatilities and correlations. 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 fundamentals over the 1990s may have been the cause of the more idiosyncratic behavior of the Japanese stock market. © 2006 Elsevier B.V. All rights reserved.

Morana, C., Beltratti, A. (2008). Comovements in international stock markets. JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS & MONEY, 18, 31-45 [10.1016/j.intfin.2006.05.001].

Comovements in international stock markets

MORANA, CLAUDIO;
2008

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, volatilities and correlations. 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 fundamentals over the 1990s may have been the cause of the more idiosyncratic behavior of the Japanese stock market. © 2006 Elsevier B.V. All rights reserved.
Articolo in rivista - Articolo scientifico
realized volatility; realized correlation; stock markets; financial integration; economic integration
English
2008
18
31
45
none
Morana, C., Beltratti, A. (2008). Comovements in international stock markets. JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS & MONEY, 18, 31-45 [10.1016/j.intfin.2006.05.001].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/26025
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