Global Production Linkages and Stock Market Comovement

Arbeitspapier

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: CESifo Working Paper ; No. 10492

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Trade: General ; Financial Aspects of Economic Integration ; Economic Impacts of Globalization: Finance ; General Financial Markets: General (includes Measurement and Data) ; Asset Pricing; Trading Volume; Bond Interest Rates ; International Financial Markets
• Thema: financial integration ; global value chains ; international asset pricing ; international trade ; real integration ; spillovers ; stock market comovement ; supply chains

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Auer, Raphael ; Iwadate, Bruce ; Schrimpf, Andreas ; Wagner, Alexander F.
• Ereignis: Veröffentlichung
• (wer): Center for Economic Studies and ifo Institute (CESifo)
• (wo): Munich
• (wann): 2023

Weitere Informationen

• Handle: http://hdl.handle.net/10419/279242
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ