International Integration of Equity Markets and Contagion Effects

58 Pages Posted: 15 Feb 2006

See all articles by Paul Anthony Cashin

Paul Anthony Cashin

International Monetary Fund (IMF)

C. John McDermott

Reserve Bank of New Zealand

Date Written: November 1995

Abstract

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.

JEL Classification: F36, G12, G15

Suggested Citation

Cashin, Paul Anthony and McDermott, C. John, International Integration of Equity Markets and Contagion Effects (November 1995). IMF Working Paper No. 95/110, Available at SSRN: https://ssrn.com/abstract=883256

Paul Anthony Cashin (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street NW
Washington, DC 20431
United States

C. John McDermott

Reserve Bank of New Zealand ( email )

2 The Terrace
P.O. Box 2498
Wellington, 6011
New Zealand

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