The Rise In Comovement Across National Stock Markets Market Integration Or Global Bubble
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The Rise in Comovement Across National Stock Markets
Author | : Robin Brooks |
Publisher | : International Monetary Fund |
Total Pages | : 46 |
Release | : 2002-09 |
Genre | : Business & Economics |
ISBN | : |
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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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