TAILIEUCHUNG - The Rise in Comovement across National Stock Markets: Market Integration or IT Bubble?

We explore this question in two ways. First, we examine the breadth of the recent rise in sector effects, by exploring the evolution over time of country and industry effects outside of the technology, media and telecommunications (TMT) sectors. Our focus on TMT derives from the fact that these sectors have been identified in financial circles as being central to the recent stock market bubble. 4 We find that, outside of TMT, there is no significant rise in the absolute and relative importance of global industry effects since the mid-1980s, something we find hard to reconcile with the notion that their rise is capturing greater economic and financial integration | The Rise in Comovement across National Stock Markets Market Integration or IT Bubble Robin Brooks and Marco Del Negro Working Paper 2002-17a September 2002 Working Paper Series Federal Reserve Bank of Atlanta Working Paper 2002-17a September 2002 The Rise in Comovement across National Stock Markets Market Integration or IT Bubble Robin Brooks International Monetary Fund Marco Del Negro Federal Reserve Bank of Atlanta Abstract A stylized fact in the portfolio diversification literature is that diversifying across countries is more effective than diversifying across industries in terms of risk reduction. But with the rise in comovement across national stock markets since the mid-1990s this no longer appears to be true. We explore whether this change is driven by global integration and therefore likely to be permanent or if it is a temporary phenomenon associated with the recent stock market bubble. Our results point to the latter hypothesis. In the aftermath of the bubble diversifying across countries may therefore still be effective in reducing portfolio risk. JEL classification G11 G15 Key words diversification risk international financial markets industrial structure An earlier version of this paper circulated under the title Country versus Industry Factors in Global Stock Returns. The authors thank Stefano Cavaglia John Griffin Mark Kamstra and Andrew Karolyi for helpful conversations Ashoka Mody and Geert Rouwenhorst for extensive comments on earlier drafts and Young Kim for excellent research assistance. The views expressed here are the authors and not necessarily those of the Federal Reserve Bank of Atlanta or the Federal Reserve System. Any remaining errors are the authors responsibility. Please address questions regarding content to Robin Brooks Financial Studies Division Research Department International Monetary Fund 700 19th Street . Washington . 20431 rbrooks2@ or Marco Del Negro Research Department Federal Reserve Bank of Atlanta 1000 .

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