International Integration of Equity Markets and Contagion Effects

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 cros...

Full description

Bibliographic Details
Main Author: Cashin, Paul
Other Authors: Kumar, Manmohan, McDermott, C.
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 1995
Series:IMF Working Papers
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
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
Physical Description:58 pages
ISBN:9781451853285