Stock market integration between the UK and the US: Evidence over eight decades

Journal article


Aladesanmi, O, Casalin, F and Metcalf, H (2018). Stock market integration between the UK and the US: Evidence over eight decades. Global Finance Journal. 41, pp. 32-43.
AuthorsAladesanmi, O, Casalin, F and Metcalf, H
Abstract

© 2018 This study investigates how the impact made on stock market integration by macroeconomic determinants such as various measures of convergence and financial volatility, as well as crisis episodes, varies over the period 1935–2015. We gauge how the level of integration between the UK and US stock markets changes across three monetary regimes during this period: pre–Bretton Woods (BW), the BW fixed exchange rate, and the post-BW flexible rates. Our empirical results suggest that integration was strongest under the post-BW regime and weakest under the BW regime. We further demonstrate that stock market integration between the two markets has been driven largely by macroeconomic convergence and financial volatility as well as by crises, especially since the demise of the BW system.

Year2018
JournalGlobal Finance Journal
Journal citation41, pp. 32-43
ISSN1044-0283
Digital Object Identifier (DOI)doi:10.1016/j.gfj.2018.11.005
Publication dates
Print18 Dec 2018
Publication process dates
Deposited13 Mar 2019
Accepted29 Nov 2018
Accepted author manuscript
License
CC BY 4.0
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https://openresearch.lsbu.ac.uk/item/8683w

Accepted author manuscript

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