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Economic integration and the comovement of stock returns

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  • Tavares, José

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.

Suggested Citation

  • Tavares, José, 2009. "Economic integration and the comovement of stock returns," Economics Letters, Elsevier, vol. 103(2), pages 65-67, May.
    • Handle: RePEc:eee:ecolet:v:103:y:2009:i:2:p:65-67
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    References listed on IDEAS

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    More about this item

    Keywords

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

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F15 - International Economics - - Trade - - - Economic Integration
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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