Arbeitspapier
Firm-level evidence on international stock market comovement
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 countryspecific shocks by 1.5 percent. This link has grown stronger since the mid-1980s.
- Language
-
Englisch
- Bibliographic citation
-
Series: Discussion Paper Series 1 ; No. 2005,11
- Classification
-
Wirtschaft
Portfolio Choice; Investment Decisions
International Financial Markets
- Subject
-
Diversification
risk
international financial markets
industrial structure
Internationaler Finanzmarkt
Kapitalertrag
Portfolio-Management
Portfolio-Investition
Internationaler Preiszusammenhang
Globalisierung
Welt
- Event
-
Geistige Schöpfung
- (who)
-
Brooks, Robin
Del Negro, Marco
- Event
-
Veröffentlichung
- (who)
-
Deutsche Bundesbank
- (where)
-
Frankfurt a. M.
- (when)
-
2005
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Brooks, Robin
- Del Negro, Marco
- Deutsche Bundesbank
Time of origin
- 2005
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