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Abstract ▼ AI-Helper

The paper attempts to investigate the co-movement of stock prices across 44 countries. In a fixed effect model and a probit model, the paper finds the following empirical results. First, stock prices tend to co-move more strongly among more economically linked countries. Second, both international t...

The paper attempts to investigate the co-movement of stock prices across 44 countries. In a fixed effect model and a probit model, the paper finds the following empirical results. First, stock prices tend to co-move more strongly among more economically linked countries. Second, both international trade and international finance are important economic linkages in explaining the co-movement of stock prices. Third, the co-movement is stronger when stock prices decline. Fourth, a large swings of stock prices tend to affect other countries" stock prices more strongly. Fifth, the stock prices of advanced countries are more likely to co-move the stock prices of emerging market countries. Sixth, the tendency of co-movement is stronger in recent periods.

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