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: 2007 - Volume: 07 - Fascicolo: 4 - Pagina iniziale: 1 - Pagina finale: 37

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 autore-gressive framework (F-VAR). The findings point to a relevant role of both economic and financial integration in explaining international stock markets comovements for the G-7 countries. While economic integration would exercise its effects through the common response of stock markets to global economic shocks, financial integration would operate through financial shocks spillovers, particularly at the regional level.




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