Download or read book The Rise in Comovement Across National Stock Markets written by Robin Brooks and published by International Monetary Fund. This book was released on 2002-09 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: The degree of comovement across national stock markets has increased dramatically since the mid-1990s. This has overturned a stylized fact in the international portfolio diversification literature that diversifying across countries is more effective for risk reduction than diversifying across industries. We investigate if this rise in comovement is a permanent phenomenon driven by greater economic and financial integration, or a temporary effect associated with the recent stock market bubble. At the global level, our results point to the bubble. At a regional level, we find evidence of a significant rise in market integration within Europe, possibly a reflection of institutional changes such as the EMU.