International stock market interdependence: Are developing markets the same as developed markets?
Author
Summary, in English
This paper uses a dynamic panel-data gravity model to explain the correlations between 40 markets from 1996 to 2010 using four types of market linkages: information capacity, financial integration, economic integration, and similarity in industrial structure. The mechanism of interdependence of developed markets and that of developing markets are heterogeneous: (1) information capacity and industrial structure similarity have significant impact on the correlations of a developed market with other markets; (2) economic integration drives the correlations of a developing market with other markets; (3) financial integration is important for interdependence among developed markets and that among developing markets, but not for that between developed and developing markets. The EMU has a significant positive impact on stock market integration from 1996 to 2002. This impact increases after the inauguration of the EMU in 1999 but does not increase further after the monetary transition being accomplished in 2002.
Department/s
Publishing year
2013
Language
English
Pages
226-238
Publication/Series
Journal of International Financial Markets, Institutions, and Money
Volume
26
Links
Document type
Journal article
Publisher
North-Holland
Topic
- Economics
Keywords
- Stock market linkages
- Heterogeneity
- Gravity model
- Dynamic panel-data
- Information capacity
Status
Published
Research group
- Knut Wicksell Centre for Financial Studies
ISBN/ISSN/Other
- ISSN: 1042-4431