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| Type | Working Paper |
| Scope | Discipline-based scholarship |
| Title | Global Production Linkages and Stock Market Comovement |
| Organization Unit | |
| Authors |
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| Language |
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| Institution | University of Zurich |
| Series Name | Swiss Finance Institute Research Paper |
| Number | 22-18 |
| Number of Pages | 51 |
| Date | 2022 |
| Abstract Text | 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. |
| Free access at | DOI |
| Digital Object Identifier | 10.2139/ssrn.4041037 |
| Other Identification Number | merlin-id:23718 |
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