Economic integration and stock market comovement in the Americas

Johnson, Robert R.; Soenen, Luc

doi:10.1016/s1042-444x(02)00035-x

Cited by 103 publications

(69 citation statements)

References 27 publications

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“…The coefficient estimate for the GDP growth rate differential between Pakistan and Thailand is significant and negative, showing that the lower GDP growth rate difference between Pakistan and Thailand results in higher co-movement. Such results are in line with the results of earlier studies like Johnson and Soenen (2003), and Mobarek et al (2016). These earlier researchers report that the GDP growth rate differential of two economies is significant and negatively associated with stock market co-movement.…”

Section: Pakistan and Thailandsupporting

confidence: 92%

“…The coefficient estimate for bilateral trade between Pakistan and India is significant and positive, showing that bilateral trade is significant in explaining the correlation between Pakistan and India. Such results are in line with Bekaert and Harvey (1997), , Johnson and Soenen (2003), Pretorius (2002), and Walti (2005). They report that trade is significantly and positively associated with stock market co-movement.…”

Section: Pakistan and Indiasupporting

confidence: 87%

“…In addition, industrial production growth differential was also significant in describing the co-movement between stock markets of two countries. Another study related to bilateral trade and stock market co-movement was conducted by Johnson and Soenen (2003) and found that trade is significantly correlated with the degree of stock market co-movement over time. suggested that the extent of stock market co-movement is dependent on the extent of economic integration between two countries.…”

Section: Empirical Evidences Of Determinants Of Stock Market Co-movementmentioning

confidence: 99%

“…The main causes of these strong linkages between global economies are technological advances, removal of statutory controls, market liberalization and the growth of several emerging markets. These factors have contributed to more interlinked economies, which in turn are said to have given rise to a higher degree of stock market co-movement (Johnson and Soenen 2003). The integration of emerging stock markets remains an open question that has not been adequately addressed.…”

Section: Introductionmentioning

confidence: 99%

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Determinants of Stock Market Co-Movements between Pakistan and Asian Emerging Economies

Aamir

Shah

2018

JRFM

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This study analyzes the determinants of stock market co-movement between Pakistan and Asian emerging economies for the period 2001 to 2015. Augmented Dickey and Fuller (ADF) and Philips-Perron (PP) tests are applied to check co-integration between their stock markets. Results of this study reveal that there is long-term integration between the stock market of Pakistan and the stock markets of China, India, Indonesia, Korea, Malaysia and Thailand. This study reports the driving forces of the co-movement between the Pakistan and Asian emerging markets where co-integration is found. Results of the panel data reveal that there are significant underlying forces of integration between Pakistan and each Asian emerging stock market. The findings of this study have significant implications for policy makers in Pakistan who are designing strategies for macroeconomic harmonization and stability of the country's economy against financial shocks.

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Section: Pakistan and Thailandsupporting

confidence: 92%

Section: Pakistan and Indiasupporting

confidence: 87%

Section: Empirical Evidences Of Determinants Of Stock Market Co-movementmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Determinants of Stock Market Co-Movements between Pakistan and Asian Emerging Economies

Aamir

Shah

2018

JRFM

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“…On the other side, the equity markets of the two economies tend to follow a similar path, suggesting an increasing degree of financial integration. For example, Johnson and Soenen (2003) find a statistically high percentage of contemporaneous association between the US and Canada stock markets co-movements. Tavares (2009) sustains that the higher degree of co-movement between stock returns is related to a higher bilateral trade intensity.…”

Section: On the Us-canada Relationshipmentioning

confidence: 96%

Does financial integration affect real exchange rate volatility and cross-country equity market returns correlation?

Donadelli

Paradiso

2014

The North American Journal of Economics and Finance

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a b s t r a c tExisting empirical studies show that financial integration affects the behavior of average excess returns, cross-country equity market returns (EMR) correlations and real exchange rate (RER) volatility. We employ a recently developed two-country model with recursive preferences, frictionless and complete markets and highly correlated long-run innovations to examine whether full financial integration (i.e. full risk-sharing) affects the US-Canada EMR correlation and the US RER volatility, consistently with existing empirical findings. First, full risk-sharing gives rise to a relatively high RER volatility. Second, it induces very strong positive cross-country EMR correlations. Both quantities are higher than those observed in the US-Canada asset pricing data, and increase as the risk-sharing incentive increases. In contrast, "international consumption quantities" are weakly sensitive to changes in the level of aversion to consumption and utility risk.

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Latin American stock market dynamics and comovement

2018

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With the economic relevance of the relationships among emerging and frontier equity markets becoming increasingly significant, this paper investigates comovement among returns from six Latin American stock markets (Mexico [BMV], Brazil [BOVESPA], Chile [IPSA], Peru [IGBVL], Argentina [MERVAL], and Venezuela [IBVC]) and also with the U.S. S&P 500 Composite index. In part, we employ principal component analyses, to account for the maximum portion of the variance present in the returns by examining rolling windows with 8‐, 6‐, 4‐, 3‐, 2‐, and 1‐year periods. We also investigate the incidence of structural breaks and comovement, aiming to uncover the dynamics in comovements among these markets. We find evidence of high comovement among the Latin American markets, and also with the U.S. markets. Venezuela and Mexico's equity markets are at the extremes. However, our results do not corroborate findings of clear evidence, reported in previous studies, of the United States having a leading role in the region.

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Economic integration and stock market comovement in the Americas

Cited by 103 publications

References 27 publications

Determinants of Stock Market Co-Movements between Pakistan and Asian Emerging Economies

Determinants of Stock Market Co-Movements between Pakistan and Asian Emerging Economies

Does financial integration affect real exchange rate volatility and cross-country equity market returns correlation?

Latin American stock market dynamics and comovement

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