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http://ssrn.com/abstract=4649
 
 

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Measuring International Economic Linkages with Stock Market Data


John Ammer


U.S. Federal Reserve Board of Governors

Jianping Mei


New York University (NYU) - Department of Finance


JOURNAL OF FINANCE, Vol. 51, No. 5, December 1996

Abstract:     
This paper develops a new framework for measuring financial and real economic linkages between countries. Using U.S. and U.K. data from 1957 to 1989, we find closer financial linkages after the Bretton Woods currency arrangement was abandoned and Britain suspended exchange controls. In a pair- wise application to fifteen countries over a shorter period, we also find that news about future dividend growth is more highly correlated between countries than contemporaneous output measures. This suggests that there are lags in the international transmission of economic shocks and that contemporaneous output correlation may understate the magnitude of integration.

JEL Classification: F36

Accepted Paper Series





Not Available For Download

Date posted: February 13, 1997  

Suggested Citation

Ammer, John and Mei, Jianping, Measuring International Economic Linkages with Stock Market Data. JOURNAL OF FINANCE, Vol. 51, No. 5, December 1996. Available at SSRN: http://ssrn.com/abstract=4649

Contact Information

John Matthew Ammer (Contact Author)
U.S. Federal Reserve Board of Governors ( email )
20th & C Streets NW
Washington, DC 20551
United States
202-452-2349 (Phone)
202-452-6424 (Fax)
Jianping Mei
New York University (NYU) - Department of Finance ( email )
Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States
212-998-0354 (Phone)
212-995-4221 (Fax)
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