The purpose of this paper is to study synchronization in stock index cycles across 82 countries and the linkage between macroeconomic and financial integration and stock market synchronization.
The author document the synchronization structure of the world equity index cycles and its evolution over time. The author examine the explanatory power of various economic and financial variables on cycle comovements.
Trade openness, capital openness, and an EU membership contribute to higher stock index cycle synchronization. Additionally, the macroeconomic and financial variables have asymmetric impacts on countries of different development levels.
The author is the first to thoroughly chronicle the turning points, i.e., bear and bull regimes, of world equity indexes and empirically examine determinants of their cyclical comovement across nations.
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