The Long-Term Evolution of International Stock Return Comovements.

Summary This thesis studies the long-term evolution and the main determinants of equity market comovements. These issues are important for investors and regulators, as interdependencies between stock markets (i) are a key element of the benefits of international portfolio diversification and (ii) may affect financial stability by facilitating the propagation of shocks across countries. Our contributions to the literature are both methodological and empirical. We develop indicators that shed new light on the evolution of the benefits of international diversification. Then, we study the long-term impact of globalization on the increase of comovements between stock markets over the last four decades. Finally, we examine the interconnections of insurance companies that have become a central feature of macroprudential supervision of the sector.