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Does Increased International Influence Cause Higher Stock Market Volatility?
Author(s) -
Hassler John
Publication year - 1999
Publication title -
scandinavian journal of economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.725
H-Index - 64
eISSN - 1467-9442
pISSN - 0347-0520
DOI - 10.1111/1467-9442.00137
Subject(s) - volatility (finance) , economics , stock market , stock market volatility , stock (firearms) , monetary economics , financial economics , mechanical engineering , paleontology , horse , engineering , biology
Increased international financial integration is likely to cause greater market interdependence. This may either reduce volatility or increase it, by adding a new source of noise. Based on Swedish data, the findings in this paper are that foreign influence on the stock market shows a clear, positive trend, while purely domestic factors have not become more volatile. The trendwise increase in volatility on the Swedish stock market can thus be attributed to increased foreign influence. JEL Classification : E 44; F 3; G 1