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Measuring International Economic Linkages with Stock Market Data

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

Posted: 13 Feb 1997  

John Ammer

U.S. Federal Reserve Board of Governors

Jianping Mei

New York University (NYU) - Department of Finance

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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

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: https://ssrn.com/abstract=4649

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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