Stock market synchronization and monetary integration
This paper focuses on the relationship between stock market comovements and monetary integration. A panel specification is used to explain bilateral stock market return correlations between fifteen developed economies over the period 1975-2006. Time fixed effects are included to capture global shocks and we also examine the role of bilateral trade linkages and international financial integration. Monetary integration leads to stronger stock market synchronization, both through the elimination of exchange rate volatility and through the common monetary policy and the convergence of inflation expectations. Trade and financial integration also contribute to higher stock market return comovements.
Year of publication: |
2011
|
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Authors: | Wälti, Sébastien |
Published in: |
Journal of International Money and Finance. - Elsevier, ISSN 0261-5606. - Vol. 30.2011, 1, p. 96-110
|
Publisher: |
Elsevier |
Keywords: | Stock markets Correlation Comovement Monetary union Exchange rate regime |
Saved in:
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