International Integration of Equity Markets and Contagion Effects

By Paul Cashin, Manmohan S. Kumar, C. John McDermott

November 1, 1995

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Paul Cashin, Manmohan S. Kumar, and C. John McDermott International Integration of Equity Markets and Contagion Effects, (USA: International Monetary Fund, 1995) accessed September 19, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

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.

Subject: Asset prices, Emerging and frontier financial markets, Financial institutions, Financial markets, Price indexes, Prices, Stock markets, Stocks

Keywords: Asia and Pacific, Asset prices, Contagion effect, Country market, Emerging and frontier financial markets, Emerging market, Equity market market index, Global, Integration result, Market index, Market integration, Market movement, Middle East, Price index, Price indexes, Stock index, Stock market index, Stock markets, Stocks, WP

Publication Details

Pages:

58
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 1995/110
Stock No:

WPIEA1101995
ISBN:

9781451853285
ISSN:

1018-5941

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