International Integration of Equity Markets and Contagion Effects
This paper investigates empirically the degree of international integration of industrial and emerging country equity markets. It analyzes two issues: first, the extent to which equity prices have tended to move similarly across countries and regions in the long run; and second, the strength of cross-country “contagion” effects. The paper’s findings suggest that both intra-regional and inter-regional linkages across national equity markets have strengthened in recent years. In addition, using impulse response functions, the paper shows that cross-country contagion effects of country-specific shocks dissipate in a matter of weeks while contagion effects of global shocks take several months to unwind themselves.
Year of publication: |
1995-11-01
|
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Authors: | Cashin, Paul ; Kumar, Manmohan S. ; McDermott, C. John |
Institutions: | International Monetary Fund (IMF) |
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