Firm-Level Evidence on International Stock Market Comovement

Arbeitspapier

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Kiel Working Paper ; No. 1244

Klassifikation und Themen

• Klassifikation: Wirtschaft ; International Financial Markets ; Portfolio Choice; Investment Decisions
• Thema: Diversification ; risk ; international financial markets ; industrial structure ; Internationaler Finanzmarkt ; Kapitalertrag ; Portfolio-Management ; Portfolio-Investition ; Internationaler Preiszusammenhang ; Globalisierung ; Welt

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Brooks, Robin ; Del Negro, Marco
• Ereignis: Veröffentlichung
• (wer): Kiel Institute for World Economics (IfW)
• (wo): Kiel
• (wann): 2005

Weitere Informationen

• Handle: http://hdl.handle.net/10419/17799
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ