Autore
Morana, Claudio

Titolo
International stock markets comovements: the role of economic and financial integration.
Periodico
Università degli Studi del Piemonte Orientale 'A. Avogadro' : Facoltà di Economia - Dipartimento di Scienze Economiche e Metodi Quantitativi "SEMEQ" - Quaderni
Anno: 2006 - Volume: 06 - Fascicolo: 9 - Pagina iniziale: 1 - Pagina finale: 30

In this paper the contributions of economic and financial integration to international stock markets comovements are investigated by means of a large scale macroeconometric model, set in the factor vector autoregressive framework (FVAR). The findings point to a key role of both economic and financial integration in determining stock markets comovements among the G-7 countries. While the former exercises its effects through the common response to global economic shocks, the latter operates through financial shocks spillovers, particularly at the regional level. JEL classification: Gl, G15, C32. Keywords: stock markets, financial integration, economic integration, factor vector autoregressive models, G-7.




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