Emerging Equity Market Comovements: Trends and Macro-Economic Fundamentals

Forthcoming in the Review of Finance

57 Pages Posted: 15 Mar 2006 Last revised: 11 Jul 2014

See all articles by Esther Eiling

Esther Eiling

University of Amsterdam - Amsterdam Business School

Bruno Gerard

BI Norwegian Business School - Department of Finance

Date Written: July 10, 2014

Abstract

Emerging equity markets have become increasingly interrelated over the past two decades. For a sample of 32 emerging markets from four different regions we find significant positive time trends in cross-country correlations within regions, correlations across regions and in comovements with the rest of the world. Furthermore, we examine the economic mechanisms that drive these trends. We find that official market liberalization, a continuous measure of equity market openness, equity market development, and to some extent, trade openness all play a role. However, we show important heterogeneity across regions, both in the speed at which comovements increase over time and in the underlying macro-economic channels.

Keywords: time-varying correlation, market integration, emerging markets, trends, macro-economic channels

JEL Classification: G15

Suggested Citation

Eiling, Esther and Gerard, Bruno, Emerging Equity Market Comovements: Trends and Macro-Economic Fundamentals (July 10, 2014). Forthcoming in the Review of Finance. Available at SSRN: https://ssrn.com/abstract=891115 or http://dx.doi.org/10.2139/ssrn.891115

Esther Eiling (Contact Author)

University of Amsterdam - Amsterdam Business School ( email )

Plantage Muidergracht 12
Amsterdam, 1018 TV
Netherlands

Bruno Gerard

BI Norwegian Business School - Department of Finance ( email )

Nydalsveien 37
Oslo, N-0484
Norway
+4746410506 (Phone)

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