Title :

Stock market integration between the UK and the US: Evidence over eight decades

Author(s) :

Aladesanmi, Olalekan [Auteur]
Casalin, Fabrizio [Auteur]
Lille économie management - UMR 9221 [LEM]
Metcalf, Hugh [Auteur]

Journal title :

Global Finance Journal

Pages :

32-43

Publisher :

Elsevier

Publication date :

2019-08

ISSN :

1044-0283

English keyword(s) :

Stock market integration Bretton Woods Economic policy uncertainty index Co-integration Multivariate GARCH

HAL domain(s) :

Sciences de l'Homme et Société/Economies et finances

English abstract : [en]

This study investigates how the impact made on stock market integration by macroeconomic determinants such as various measures of convergence and financial volatility, as well as crisis episodes, varies over the period ...
Show more >This study investigates how the impact made on stock market integration by macroeconomic determinants such as various measures of convergence and financial volatility, as well as crisis episodes, varies over the period 1935–2015. We gauge how the level of integration between the UK and US stock markets changes across three monetary regimes during this period: pre–Bretton Woods (BW), the BW fixed exchange rate, and the post-BW flexible rates. Our empirical results suggest that integration was strongest under the post-BW regime and weakest under the BW regime. We further demonstrate that stock market integration between the two markets has been driven largely by macroeconomic convergence and financial volatility as well as by crises, especially since the demise of the BW system.Show less >

Language :

Anglais

Popular science :

Non

Collections :

• Lille Économie Management (LEM) - UMR 9221

Source :

Harvested from HAL