Chapter 30

The Behavior of International Stock Market Excess Returns in an Increasingly Integrated World*

Michael Donadelli,    Department of Economics and Finance, LUISS Guido Carli, Rome, Italy,    Center of Excellence SAFE, Goethe, University Frankfurt, Germany,    E-mail: mdonadelli@luiss.it

Abstract

This chapter studies the behavior of international (i.e., emerging and advanced) stock market excess returns, both at the country and sector level, in a dynamic and globally integrated context. A preliminary analysis confirms that emerging stock markets have compensated international investors with generous excess returns and tend to be highly unstable. In addition, the correlation between international stock market excess returns is increasing ...

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