International Stock Return Comovements PDF Download
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| Author | : Geert Bekaert |
| Publisher | : |
| Total Pages | : 76 |
| Release | : 2006 |
| Genre | : Rate of return |
| ISBN | : |
Download International Stock Return Comovements Book in PDF, ePub and Kindle
We examine international stock return comovements using country-industry and country-style portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston-Rouwenhorst (1994) model. We then establish the following stylized facts regarding stock return comovements. First, we do not find evidence for an upward trend in return correlations, excpet for the European stock markets. Second, the increasing imporatnce of industry factors relative to country factors was a short-lived, temporary phenomenon. Third, we find no evidence for a trend in idiosyncratic risk in any of the countries we examine.
| 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 | : Louis Gagnon |
| Publisher | : |
| Total Pages | : 50 |
| Release | : 2010 |
| Genre | : |
| ISBN | : |
Download Information, Trading Volume, and International Stock Return Comovements Book in PDF, ePub and Kindle
We investigate the joint dynamics of returns and trading volume of 556 foreign stocks cross-listed on U.S. markets. Heterogeneous-agent trading models rationalize how trading volume reflects the quality of traders' information signals and how it helps to disentangle whether returns are associated with portfolio-rebalancing trades or information-motivated trades. Based on these models, we hypothesize that returns in the home (U.S.) market on high-volume days are more likely to continue to spill over into the U.S. (home) market for those cross-listed stocks subject to the risk of greater informed trading. Our empirical evidence provides support for these predictions, which confirms the link between information, trading volume, and international stock return comovements that has eluded previous empirical investigations.
| Author | : Yishay Yafeh |
| Publisher | : International Monetary Fund |
| Total Pages | : 36 |
| Release | : 2011-03-01 |
| Genre | : Business & Economics |
| ISBN | : 1455218952 |
Download Additions to Market Indices and the Comovement of Stock Returns Around the World Book in PDF, ePub and Kindle
Using newly-constructed data covering the last decade, we document that, in most of forty markets, when added to the main index, firms’ returns experience an increase in comovement with the rest of the index, reflected in higher beta and greater explanatory power of the market return. Stock turnover and analyst coverage also typically increase upon inclusion. Using various tests, we find the demand-based view of comovement (the category/habitat theories of Barberis, Shleifer and Wurgler, 2005) to provide a good explanation for many of our findings. Some results, though, suggest that information-related factors are also important in explaining the increased comovement.
| Author | : Robin Brooks |
| Publisher | : |
| Total Pages | : |
| Release | : 2010 |
| Genre | : |
| ISBN | : |
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.
| Author | : Fuchun Li |
| Publisher | : |
| Total Pages | : |
| Release | : 2010 |
| Genre | : Stock exchanges |
| ISBN | : |
Download Identifying Asymmetric Comovements of International Stock Market Returns Book in PDF, ePub and Kindle
| 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 | : Claudio Morana |
| Publisher | : |
| Total Pages | : |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
Download Comovements in International Stock Markets Book in PDF, ePub and Kindle
In the paper monthly realized moments for stock market returns for the US, the UK, Germany and Japan are employed to assess the linkages holding across moments and markets over the period 1973-2004. In the light of the theoretical framework proposed in the paper, the results point to a progressive integration of the four stock markets, leading to increasing comovements in prices, returns, volatility and correlation. Evidence of a positive and non spurious linkage between volatility and correlation, and a trend increase in correlation coefficients over time, is also found. All the above mentioned linkages seem to be particularly strong for the US and Europe, while the persistent stagnation of the economy and the weak fundamentals over the 1990s may have been the cause of the more idiosyncratic behavior of the Japanese stock market.
| Author | : Kei-Ichiro Inaba |
| Publisher | : |
| Total Pages | : |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
Download Global Stock Return Comovements Book in PDF, ePub and Kindle
| Author | : Rita L. D'Ecclesia |
| Publisher | : |
| Total Pages | : 24 |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
Download Comovements and Correlations in International Stock Markets Book in PDF, ePub and Kindle
The interrelationship between international stock markets is becoming a key issue in international portfolio managment and risk measurement. The dynamics of security returns and their risk characteristics have a crucial role in the financial market's therory. Recent empirical studies have tested market efficiency measuring the degree of integration of international financial markets. These studies have shown that international markets react quickly to news but they are volatile and difficult to predict and with a changing correlation structure of security returns among countries.In this paper we analyze the nature of the relationship between the major international stock markets in Canada, Japan, U.K. and the U.S., using the common trends and common cycles approach. We investigate the presence of co-movements trying to detect a long-term stationary component, the common trend, and a short term stationary cyclical component, among international stock markets. The implications on international portfolio management are alos discussed.
