The rise in comovement across national stock markets: Market integration or IT bubble?

Journal of Empirical Finance

Volumn 11, Issue 5, 2004, Pages 659-680

  Brooks, Robin ^a   Del Negro, Marco ^b  

^a INTERNATIONAL MONETARY FUND   (United States)

^b FEDERAL RESERVE BANK OF ATLANTA   (United States)

Author keywords

Diversification; Industrial structure; International financial markets; Risk

Indexed keywords

EID: 14844284694     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2003.08.001     Document Type: Article

References (15)

1. Baca S. Garbe B. Weiss R. The rise of sector effects in major equity markets Financial Analysts Journal, September/October 2000 35-40
2. Bekaert G. Harvey C. Lumsdaine R. Dating the integration of world equity markets Journal of Financial Economics 65 2 2002 203-249
3. Brooks R. Del Negro M. 2002. The Rise in Comovement Across National Stock Markets: Market Integration or IT Bubble? Federal Reserve Bank of Atlanta. Working Paper 2002-17a. http://www.frbatlanta.org/filelegacydocs/wp0217a.pdf
4. Cavaglia S. Brightman C. Aked M. The increasing importance of industry factors Financial Analysts Journal, September/October 2000 41-54
5. Edison H. Klein M. Ricci L. Sløk T. 2002. Capital Account Liberalization and Economic Performance: Survey and Synthesis. IMF Working Paper WP/02/120
6. Emerging Stock Markets Factbook, 2001. Standard & Poor, New York
7. Green W. Econometric Analysis 1993 Macmillan New York
8. Griffin J. Karolyi A. Another look at the role of industrial structure of markets for international diversification strategies Journal of Financial Economics 50 1998 351-373
9. Hecq A. Palm F. Urbain J. Comovements in international stock markets: What can we learn from a common trend-common cycle analysis? De Economist 148 3 2000 395-406
10. Heston S. Rouwenhorst G. Does industrial structure explain the benefits of international diversification? Journal of Financial Economics 36 1994 3-27
11. Heston S. Rouwenhorst G. Industry and country effects in international stock returns Journal of Portfolio Management 1995 53-58
12. Heston S. Rouwenhorst G. Wessels R. The structure of international stock returns and the integration of capital markets Journal of Empirical Finance 2 1995 173-197
13. L'Her J. Sy O. Tnani Y. Country, industry and risk factor loadings in portfolio management Journal of Portfolio Management 28 4 2002 70-79
14. Rouwenhorst G. European equity markets and EMU: Are the differences between countries slowly disappearing? Financial Analysts Journal, May-June 1999 57-64
15. Serra A. Country and industry factors in returns: Evidence from emerging markets' stocks Emerging Markets Review, September 1 2 2000 127-151