Stock market comovements and industrial structure

Stock market comovements and industrial structure

Posted: nee_anton Date: 15.07.2017

INSEAD Working Paper No. We use monthly stock market indices for 58 countries to construct pairwise correlations of returns and explain these correlations with differences in the industrial structure across these countries. We find that countries with similar industries have stock markets that exhibit high correlation of returns. The results are robust to the inclusion of other regressors like differences in income per capita, stock market capitalizations, measures of institutions, as well as various fixed time, country and country-pair effects.

We also find that differences in the structure of exports explain stock market correlations quite well.

Our results are consistent with models in which the impact of each industry-specific shock is proportional to the share of this industry in the overall industrial output of the country. We also show that differences in production structures have higher explanatory power for segmented markets rather than for markets that are integrated. International stock market correlations, industry structure, trade structure, GARCH.

Dutt, Pushan and Mihov, Ilian, Stock Market Comovements and Industrial Structure August 25, INSEAD Working Paper Series. Subscribe to this free journal for more curated articles on this topic. Subscribe to this fee journal for more curated articles on this topic.

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stock market comovements and industrial structure

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Pushan Dutt INSEAD - Economics and Political Sciences Ilian Mihov INSEAD; Centre for Economic Policy Research CEPR. Abstract We use monthly stock market indices for 58 countries to construct pairwise correlations of returns and explain these correlations with differences in the industrial structure across these countries. Pushan Dutt Contact Author INSEAD - Economics and Political Sciences email 1 Ayer Rajah Avenue Singapore, Singapore Phone HOME PAGE: Centre for Economic Policy Research CEPR 77 Bastwick Street London, EC1V 3PZ United Kingdom.

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Stock Market Comovements and Industrial Structure

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stock market comovements and industrial structure

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