Firm-Level Evidenceon International Stock Market Comovement
Electronic Access:
Free Download. Use the free Adobe Acrobat Reader to view this PDF file
Summary:
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.
Series:
Working Paper No. 2003/055
Subject:
Balance of payments Capital account Econometric analysis Factor models Financial institutions Financial markets National accounts Personal income Stock markets Stocks
English
Publication Date:
March 1, 2003
ISBN/ISSN:
9781451847642/1018-5941
Stock No:
WPIEA0552003
Pages:
31
Please address any questions about this title to publications@imf.org