Explaining Co-Movements between Stock Markets: The Case of Us and Germany

Posted: 21 Sep 2006

See all articles by Alessandra Bonfiglioli

Alessandra Bonfiglioli

Universitat Pompeu Fabra, Economics Department

Carlo A. Favero

Bocconi University - Department of Economics; Bocconi University - Department of Finance; Centre for Economic Policy Research (CEPR)

Abstract

We explain co-movements between stock markets by explicitly considering the distinction between interdependence and contagion. We propose and implement a full information approach on data for US and Germany to provide answers to the following questions: (i) is there long-term interdependence between US and German stock markets? (ii) Is there short-term interdependence and contagion between US and German stock markets, i.e do short term fluctuations of the US share prices spill over to German share prices and is such co-movement unstable over high volatility episodes? Our answers are, respectively, no to the first question and yes to the second one.

Keywords: Contagion, Stock Market, Interdependence, Structural Models

JEL Classification: F30, F40, G15

Suggested Citation

Bonfiglioli, Alessandra and Favero, Carlo A., Explaining Co-Movements between Stock Markets: The Case of Us and Germany. Journal of International Money and Finance, Vol. 24, No.8, pp. 1299-1316, December 2005, Available at SSRN: https://ssrn.com/abstract=931864

Alessandra Bonfiglioli (Contact Author)

Universitat Pompeu Fabra, Economics Department ( email )

Ramon Trias Fargas, 25-27
Barcelona, E-08005
Spain

Carlo A. Favero

Bocconi University - Department of Economics ( email )

Via Gobbi 5
Milan, 20136
Italy

Bocconi University - Department of Finance ( email )

Via Roentgen 1
Milano, MI 20136
Italy

HOME PAGE: http://www.igier.unibocconi.it\favero

Centre for Economic Policy Research (CEPR)

London
United Kingdom

Do you have negative results from your research you’d like to share?

Paper statistics

Abstract Views
651
PlumX Metrics