Journal
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
Volume 56, Issue -, Pages 451-464Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.iref.2017.12.004
Keywords
Comovements; Global factor; Regional factor; Developed market; Emerging market
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Funding
- Fundamental Research Funds for the Central Universities [15JNQM009]
- Natural Science Foundation of Guangdong Province [2015A030310444]
- Social Sciences Funding Program of Guangdong Province [GD14XYJ03]
- China Scholarship Council (CSC) [201706785020]
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We employ a Bayesian dynamic latent factor model to investigate the comovements of stock markets simultaneously across the world as well as across regions. The results indicate that a common global factor is a significantly important source of the fluctuations for most markets, providing evidence of the international stock market comovements. The roles of the global and regional factors, however, differ substantially across stock markets in different regions, as well as between developed and emerging markets. And the degree of a market's comovement with in ternational stock markets is closely related with that of its country's integration into the global economy.
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