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| Author | : Evi Kaplanis |
| Publisher | : |
| Total Pages | : 41 |
| Release | : 1986 |
| Genre | : Investments, Foreign |
| ISBN | : |
| Author | : Mr.Marco Del Negro |
| Publisher | : International Monetary Fund |
| Total Pages | : 32 |
| Release | : 2003-03-01 |
| Genre | : Business & Economics |
| ISBN | : 1451847645 |
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 | : Fuchun Li |
| Publisher | : |
| Total Pages | : |
| Release | : 2010 |
| Genre | : Stock exchanges |
| ISBN | : |
| Author | : Dimitra Doimas |
| Publisher | : |
| Total Pages | : 528 |
| Release | : 1999 |
| Genre | : |
| ISBN | : |
| Author | : Gordon Y. N. Tang |
| Publisher | : |
| Total Pages | : |
| Release | : 2000 |
| Genre | : |
| ISBN | : |
Using a direct test on the equality of correlation matrices of 12 international stock markets, this paper examines the intertemporal stability in stock market co-movements. Contrary to previous findings, our empirical results show that for both domestic currency and US$-based returns, the shorter the time period considered, the more stable the patterns of stock market co-movement, especially in the period before the 1987 stock crash when domestic currency returns are used.
| Author | : Rita L. D'Ecclesia |
| Publisher | : |
| Total Pages | : 24 |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
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.
| Author | : Michael Ehrmann |
| Publisher | : |
| Total Pages | : 28 |
| Release | : 2020 |
| Genre | : Investments |
| ISBN | : |
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 | : Wolfgang Drobetz |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 346 |
| Release | : 2013-06-29 |
| Genre | : Business & Economics |
| ISBN | : 3663085295 |
Wolfgang Drobetz provides empirical evidence on the time variation of expected stock returns over the stages of the business cycle.
| Author | : |
| Publisher | : |
| Total Pages | : 496 |
| Release | : 1988 |
| Genre | : |
| ISBN | : |
| Author | : Jeffrey A. Frankel |
| Publisher | : University of Chicago Press |
| Total Pages | : 428 |
| Release | : 2008-04-15 |
| Genre | : Business & Economics |
| ISBN | : 0226260216 |
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.
