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Economic Integration and the Co-movement of Stock Returns

José Tavares, Universidade Nova de Lisboa

Abstract

We analyze how economic integration affects the cross-country comovements in stock returns, in developed and emerging markets. Bilateral trade intensity increases the correlation of returns, while real exchange rate volatility, the asymmetry of output growth and export dissimilarity decrease it.

Suggested Citation

José Tavares. "Economic Integration and the Co-movement of Stock Returns" Economcs Letters 103.2 (2009): 65-67.
Available at: http://works.bepress.com/josetavares/3