| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6530 |
| DP6530 Correlated Trading and Returns | |
| Paul Sengmüller; Gur Huberman; Daniel Dorn | |
| 发表日期 | 2007-10-19 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | In this paper we analyze the determinants of co-movements in stock returns among 40 developed and emerging markets, from the 1970s to the 1990s. We provide empirical estimates of the impact of bilateral indicators of economic integration such as bilateral trade intensity, the dissimilarity of export structures, the asymmetry of output growth and bilateral real exchange rate volatility. We find that each indicator has the expected effect on the correlation of stock returns: trade intensity increases the correlation of stock returns, while real exchange rate volatility, the asymmetry of output growth and the degree of export dissimilarity decrease it. We also find that countries with more developed and more analogous institutions - in terms of either rule of law or civil liberties - display a higher correlation of stock returns. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Bilateral trade intensity Co-movement of stock returns Economic integration Real exchange rate volatility |
| URL | https://cepr.org/publications/dp6530 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535369 |
| 推荐引用方式 GB/T 7714 | Paul Sengmüller,Gur Huberman,Daniel Dorn. DP6530 Correlated Trading and Returns. 2007. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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