International Integration of Equity Markets and Contagion Effects
Summary:
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.
Series:
Working Paper No. 1995/110
Subject:
Asset prices Emerging and frontier financial markets Financial institutions Financial markets Price indexes Prices Stock markets Stocks
English
Publication Date:
November 1, 1995
ISBN/ISSN:
9781451853285/1018-5941
Stock No:
WPIEA1101995
Pages:
58
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