Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/212617 
Authors: 
Year of Publication: 
2008
Series/Report no.: 
BOFIT Discussion Papers No. 4/2008
Publisher: 
Bank of Finland, Institute for Economies in Transition (BOFIT), Helsinki
Abstract: 
In a broad sample of developed and emerging economies over the past ten years we apply the approximate factor model in a search for common global and regional driving-forces in stock market returns and volatility. We focus particularly on two emerging stock markets - Russia and China, because of their unique characteristics and performance in the past years. We find that while Russian markets, like the CEEC region, substantially increased their integration with global stock markets, both the Chinese A- and B-share markets continued to move largely independently from global movements and only slightly increased in comovement with regional forces. We provide evidence of a general increase in global comovement of stock markets over the past decade and a decline in the role of regional forces, which imply a decrease of the effectiveness of cross-country hedging strategies.
Subjects: 
stock markets
financial integration
Russia
China
global and regional integration
JEL: 
F36
G11
G14
Persistent Identifier of the first edition: 
ISBN: 
978-952-462-899-0
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.