The Rise in Comovement Across National Stock Markets : Market Integration or Global Bubble? /
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 indust...
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| Andere auteurs: | |
| Formaat: | Tijdschrift |
| Taal: | English |
| Gepubliceerd in: |
Washington, D.C. :
International Monetary Fund,
2002.
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| Reeks: | IMF Working Papers; Working Paper ;
No. 2002/147 |
| Online toegang: | Full text available on IMF |
| Samenvatting: | 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. |
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| Beschrijving item: | <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required |
| Fysieke beschrijving: | 1 online resource (23 pages) |
| Formaat: | Mode of access: Internet |
| ISSN: | 1018-5941 |
| Toegang: | Electronic access restricted to authorized BRAC University faculty, staff and students |