Cross-border trade competition and international stock return comovement

• 成果类型: Article
• 署名作者: Pyun, Sungjune; Sulaeman, Johan
• 署名单位: Yonsei University; National University of Singapore; National University of Singapore
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2025.104174
• 发表日期: 2026
• 关键词: VARIANCE RISK; consumption; contagion; prices; integration; volatility; investors; MARKETS; section; crises

摘要

Stock markets of countries that actively engage in international trade may move together more or less depending on their international trade linkages. This paper demonstrates that the stock markets of two countries are less likely to move together if these countries compete intensely in their export product markets. This is in contrast to the higher stock co-movement of countries that share similar exposures to common demand shocks. The empirical patterns imply that stronger cross-border trade linkages may not result in higher cross-market return correlations.