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Erscheinungsjahr: 
2023
Schriftenreihe/Nr.: 
CESifo Working Paper No. 10492
Verlag: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Zusammenfassung: 
Although real integration conceptually plays an important role for the comovement of international equity markets, documenting this link empirically has proven challenging. We construct a new dataset of theory-guided, relevant measures of bilateral trade in final and intermediate goods and services. With these measures, we provide evidence of a strong link between changes in international trade – in particular global value chains – and equity market comovement. These results suggest that supply chain disruptions and reshoring, for instance due to political tensions, war, and the COVID-19 crisis, might affect the interconnections between stock markets via rippling through the global production network.
Schlagwörter: 
financial integration
global value chains
international asset pricing
international trade
real integration
spillovers
stock market comovement
supply chains
JEL: 
F10
F36
F65
G10
G12
G15
Dokumentart: 
Working Paper
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