EVIDENCE ON ADJUSTMENTS IN MAJOR NATIONAL STOCK MARKET LINKAGES OVER THE 1980S

Abstract

This paper measures the alterations that have occurred in equity market correlations for six major internationally active stock exchanges between 1980 and 1987. The markets are chosen so as to allow for geographical diversity while still accounting for almost ninety percent of total worldwide equity market capitalization. The VAR variance decomposition technique is used to measure intermarket linkage patterns. We find substantial alterations in intermarket linkage patterns occurring over the 1980s. While the US market (the New York Stock Exchange) is still the dominant financial force in world equities trading, other markets (particularly those in the Pacific Basin region) now account for an increasing impact on observed index correlations in the system. This paper suggests that world financial integration is, in part, responsible for the altered linkage patterns observed over the 1980s.

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 28 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.