International Integration of Equity Markets and Contagion Effects

Author/Editor:

Paul Cashin ; Manmohan S. Kumar ; C. John McDermott

Publication Date:

November 1, 1995

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.

Series:

Working Paper No. 95/110

Subject:

English

Publication Date:

November 1, 1995

ISBN/ISSN:

9781451853285/1018-5941

Stock No:

WPIEA1101995

Format:

Paper

Pages:

58

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