International Financial Connection And Stock Return Comovement
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International Financial Connection and Stock Return Comovement
Author | : Mr.Sakai Ando |
Publsiher | : International Monetary Fund |
Total Pages | : 33 |
Release | : 2019-08-22 |
Genre | : Business & Economics |
ISBN | : 9781513509822 |
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This paper studies whether bilateral international financial connection data help predict bilateral stock return comovement. It is shown that, when the United States is chosen as the benchmark, a larger U.S. portfolio investment asset position on the destination economy predicts a stronger stock return comovement between them. For large economies such as the United States and Germany, the portfolio investment position is also the best predictor among other connection variables. The paper discusses with a simple general equilibrium portfolio model that the empirical pattern is consistent with the behavior of index investors who trade in response to risk-on/risk-off shocks.
International Financial Connection and Stock Return Comovement
Author | : Sakai Ando |
Publsiher | : Unknown |
Total Pages | : 34 |
Release | : 2019 |
Genre | : Electronic books |
ISBN | : 1513512706 |
Download International Financial Connection and Stock Return Comovement Book in PDF, Epub and Kindle
This paper studies whether bilateral international financial connection data help predict bilateral stock return comovement. It is shown that, when the United States is chosen as the benchmark, a larger U.S. portfolio investment asset position on the destination economy predicts a stronger stock return comovement between them. For large economies such as the United States and Germany, the portfolio investment position is also the best predictor among other connection variables. The paper discusses with a simple general equilibrium portfolio model that the empirical pattern is consistent with the behavior of index investors who trade in response to risk-on/risk-off shocks.
Firm Level Evidenceon International Stock Market Comovement
Author | : Mr.Marco Del Negro,Mr.Robin Brooks |
Publsiher | : International Monetary Fund |
Total Pages | : 32 |
Release | : 2003-03-01 |
Genre | : Business & Economics |
ISBN | : 9781451847642 |
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We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model that decomposes stock returns into global, country-specific and industry-specific shocks. We find a large and highly significant link: on average, a firm raising its international sales by 10 percent raises the exposure of its stock return to global shocks by 2 percent and reduces its exposure to country-specific shocks by 1.5 percent. This link has grown stronger since the mid-1980s.
International Financial Connection and Stock Return Comovement
Author | : Mr.Sakai Ando |
Publsiher | : International Monetary Fund |
Total Pages | : 33 |
Release | : 2019-08-22 |
Genre | : Business & Economics |
ISBN | : 9781513512693 |
Download International Financial Connection and Stock Return Comovement Book in PDF, Epub and Kindle
This paper studies whether bilateral international financial connection data help predict bilateral stock return comovement. It is shown that, when the United States is chosen as the benchmark, a larger U.S. portfolio investment asset position on the destination economy predicts a stronger stock return comovement between them. For large economies such as the United States and Germany, the portfolio investment position is also the best predictor among other connection variables. The paper discusses with a simple general equilibrium portfolio model that the empirical pattern is consistent with the behavior of index investors who trade in response to risk-on/risk-off shocks.
Firm Level Evidence on International Stock Market Comovement
Author | : Robin Brooks |
Publsiher | : Unknown |
Total Pages | : 135 |
Release | : 2010 |
Genre | : Electronic Book |
ISBN | : OCLC:1290247183 |
Download Firm Level Evidence on International Stock Market Comovement Book in PDF, Epub and Kindle
We explore the link between international stock market comovement and the extent to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model that decomposes stock returns into global, country- and industry-specific shocks. We find a large and statistically significant link for global shocks. A firm raising its international sales by 10 percent raises the exposure of its stock return to global shocks by two percent. This link has grown stronger over time since the mid-1980s. We find no similarly robust link between international sales and exposure to country-specific shocks.
Global Stock Market Integration
Author | : Sabur Mollah,Asma Mobarek |
Publsiher | : Palgrave Macmillan |
Total Pages | : 0 |
Release | : 2015-11-17 |
Genre | : Business & Economics |
ISBN | : 1137397187 |
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Stock market integration between developing and emerging markets has numerous benefits for creating a global - yet stable - world economy. It increases competition and the efficiency of local markets, in turn reducing price volatility and the cost of capital among integrated markets. It also generates capital flows, which enhance financial stability and spur economic growth. At its core, stock market integration has an important role to play in both developing and emerging markets still reeling from the global financial crisis. Global Stock Market Integration analyzes the financial makeup of developing and emerging markets around the world, providing empirical insights into market integration, co-movements in price, crises, and efficiency linkages. Mobarek and Mollah argue that the relationship between market integration and market efficiency within developing and emerging countries is not the only measure necessary for effecting real financial growth. This work brings the review of theories and empirical research on the topic up-to-date and expands the existing literature with new perspectives on developed and emerging markets.
International Investment Patterns
Author | : Mr.Gian Milesi-Ferretti,Mr.Philip R. Lane |
Publsiher | : INTERNATIONAL MONETARY FUND |
Total Pages | : 45 |
Release | : 2004-07-01 |
Genre | : Business & Economics |
ISBN | : 145185563X |
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The paper provides a systematic analysis of bilateral, source and host factors driving portfolio equity investment across countries, using newly-released data on international equity holdings at the end of 2001. It develops a model that links bilateral equity holdings to bilateral trade in goods and services and finds that the data strongly support such a correlation. Larger bilateral positions are also associated with proxies for informational proximity. It further documents that the scale of aggregate foreign equity asset and liability holdings is larger for richer countries and countries with more developed stock markets.
Financial Markets and the Real Economy
Author | : John H. Cochrane |
Publsiher | : Now Publishers Inc |
Total Pages | : 117 |
Release | : 2005 |
Genre | : Business & Economics |
ISBN | : 9781933019154 |
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Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.