The Rise in Comovement Across National Stock Markets PDF Download

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The Rise in Comovement Across National Stock Markets

The Rise in Comovement Across National Stock Markets PDF Author: Robin Brooks
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 46

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Book Description
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.