Cross Country Stock Market Comovement PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Cross Country Stock Market Comovement PDF full book. Access full book title Cross Country Stock Market Comovement.
| Author | : Alexis Anagnostopoulos |
| Publisher | : |
| Total Pages | : 34 |
| Release | : 2021 |
| Genre | : Assets (Accounting) |
| ISBN | : |
Download Cross-country Stock Market Comovement Book in PDF, ePub and Kindle
We establish a link between two recent trends: (i) the rise in cross-country stock market correlations over the past three decades, and (ii) the increase in foreign direct investment (FDI) positions over the same period. We document the presence of these phenomena, both for the US versus developed economies, as well as for bilateral pairs of six developed economies with major stock markets, and show that the relation between FDI and stock market correlations survives controlling for other relevant factors. We then develop a two-country asset pricing model with multinational firms in order to inspect and quantify the mechanism underlying the increases in stock market correlations and FDI. We find that the increase in FDI positions in the calibrated model can account for approximately one third of the rise in the observed stock market correlations. We also extend the model to account for increases in trade and portfolio diversification and find that, in contrast to FDI, these two factors do not generate an increase in stock market correlations.
| Author | : Mr.Marco Del Negro |
| Publisher | : International Monetary Fund |
| Total Pages | : 32 |
| Release | : 2003-03-01 |
| Genre | : Business & Economics |
| ISBN | : 1451847645 |
Download Firm-Level Evidenceon International Stock Market Comovement Book in PDF, ePub and Kindle
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.
| Author | : Robin Brooks |
| Publisher | : International Monetary Fund |
| Total Pages | : 46 |
| Release | : 2002-09 |
| Genre | : Business & Economics |
| ISBN | : |
Download The Rise in Comovement Across National Stock Markets Book in PDF, ePub and Kindle
The degree of comovement across national stock markets has increased dramatically since the mid-1990s. This has overturned a stylized fact in the international portfolio diversification literature that diversifying across countries is more effective for risk reduction than diversifying across industries. We investigate if this rise in comovement is a permanent phenomenon driven by greater economic and financial integration, or a temporary effect associated with the recent stock market bubble. At the global level, our results point to the bubble. At a regional level, we find evidence of a significant rise in market integration within Europe, possibly a reflection of institutional changes such as the EMU.
| Author | : Alexios Anagnostopoulos |
| Publisher | : |
| Total Pages | : |
| Release | : 2019 |
| Genre | : |
| ISBN | : |
Download Foreign Direct Investment as a Determinant of Cross-country Stock Market Comovement Book in PDF, ePub and Kindle
| Author | : Harris Dellas |
| Publisher | : |
| Total Pages | : 36 |
| Release | : 2003 |
| Genre | : Economics |
| ISBN | : |
Download Financial Development and Stock Returns Book in PDF, ePub and Kindle
| Author | : Robin Brooks |
| Publisher | : |
| Total Pages | : 24 |
| Release | : 2006 |
| Genre | : |
| ISBN | : |
Download The Rise in Comovement Across National Stock Markets Market Integration or Global Bubble? Book in PDF, ePub and Kindle
The degree of comovement across national stock markets has increased dramatically since the mid-1990s. This has overturned a stylized fact in the international portfolio diversification literature that diversifying across countries is more effective for risk reduction than diversifying across industries. We investigate if this rise in comovement is a permanent phenomenon driven by greater economic and financial integration, or a temporary effect associated with the recent stock market bubble. At the global level, our results point to the bubble. At a regional level, we find evidence of a significant rise in market integration within Europe, possibly a reflection of institutional changes such as the EMU.
| Author | : W. Jos Jansen |
| Publisher | : |
| Total Pages | : 28 |
| Release | : 2011 |
| Genre | : |
| ISBN | : |
Download Comovement in International Equity Markets Book in PDF, ePub and Kindle
We investigate shifts in correlation patterns among international equity returns at the market level as well as the industry level. We develop a novel bivariate GARCH model for equity returns with a smoothly time-varying correlation and then derive a Lagrange Multiplier statistic to test the constant-correlation hypothesis directly. Applying the test to weekly data from Germany, Japan, the UK and the US in the period 1980-2000, we find that correlations among the German, UK and US stock markets have doubled, whereas Japanese correlations have remained the same. Both dates of change and speeds of adjustment vary widely across countries and sectors.
| Author | : Michael Ehrmann |
| Publisher | : |
| Total Pages | : 28 |
| Release | : 2020 |
| Genre | : Investments |
| ISBN | : |
Download Stock Return Comovement when Investors are Distracted Book in PDF, ePub and Kindle
This paper tests whether fluctuations in investors' attention affect stock return comovement with national and global markets, and which stocks are most affected. We measure fluctuations in investor attention using 59 high-profile soccer matches played during stock market trading hours at the three editions of the FIFA World Cup between 2010 and 2018. Using intraday data for more than 750 firms in 19 countries, we find that distracted investors shift attention away from firm-specific and from global news. When movements in global stock markets are large, the pricing of global news reverts back to normal, but firm-specific news keep being priced less, leading to increased comovement of stock returns with the national stock market. This increase is economically large, and particularly strong for those stocks that typically comove little with the national market, thereby leading to a convergence in betas across stocks.
| Author | : Robin Brooks |
| Publisher | : |
| Total Pages | : 36 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
Download The Rise in Comovement Across National Stock Markets Book in PDF, ePub and Kindle
A stylized fact in the portfolio diversification literature is that diversifying across countries is more effective than diversifying across industries in terms of risk reduction. But with the rise in comovement across national stock markets since the mid-1990s, this no longer appears to be true. We explore whether this change is driven by global integration and therefore likely to be permanent, or if it is a temporary phenomenon associated with the recent stock market bubble. Our results point to the latter hypothesis. In the aftermath of the bubble, diversifying across countries may therefore still be effective in reducing portfolio risk.
| Author | : Jeffrey A. Frankel |
| Publisher | : University of Chicago Press |
| Total Pages | : 428 |
| Release | : 2008-04-15 |
| Genre | : Business & Economics |
| ISBN | : 0226260216 |
Download The Internationalization of Equity Markets Book in PDF, ePub and Kindle
This timely volume addresses three important recent trends in the internationalization of United States equity markets: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization as countries such as Japan come to rely more than ever before on markets in equities and bonds at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions, as governments remove capital controls and other barriers. Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, home-country bias in investing, the role of time and location around the world in stock trading, and the behavior of country funds. Other, long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances, and the price of risk according to the Capital Asset Pricing Model.
