The Rise in Comovement Across National Stock Markets: Market Integration Or Global Bubble?

The Rise in Comovement Across National Stock Markets: Market Integration Or Global Bubble?

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The degree of comovement across national stock markets has increased dramatically since the mid-1990s. This has overturned a stylized fact in the international portfolio diversification literature that diversifying across countries is more effective for risk reduction than diversifying across industries. We investigate if this rise in comovement is a permanent phenomenon driven by greater economic and financial integration, or a temporary effect associated with the recent stock market bubble. At the global level, our results point to the bubble. At a regional level, we find evidence of a significant rise in market integration within Europe, possibly a reflection of institutional changes such as the EMU.and are augmented with a list of active and inactive stocks for each market derived from Worldscope. ... The advantage of starting in 1985 is that the data include the October 1987 stock market crash, an important benchmark against which to judge ... Austria, Belgium, Canada, Chile, China, Colombia, the Czech Republic, Denmark, Finland, France, Germany, Greece, Hong Kong SAR, India, Indonesia, anbsp;...


Title:The Rise in Comovement Across National Stock Markets: Market Integration Or Global Bubble?
Author: Robin Brooks, Marco Del Negro
Publisher:International Monetary Fund - 2002-09-01
ISBN-13:

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