IMF Working Papers

International Stock Returns and Market Integration: A Regional Perspective

By Marco Del Negro, Robin Brooks

November 1, 2002

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Marco Del Negro, and Robin Brooks. International Stock Returns and Market Integration: A Regional Perspective, (USA: International Monetary Fund, 2002) accessed September 20, 2024
Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

We investigate the relative importance of country and industry effects in international stock returns, with the innovation that we decompose country effects into region and within-region country effects. We divide the global stock market into the Americas, Asia, and Europe and find that most of the variation explained by country effects is actually due to region effects. Over time, these region effects have fallen. Within regions, however, only in Europe has segmentation declined, while it has increased elsewhere. Europe is also the only region where industry effects are now robustly more important than country effects.

Subject: Balance of payments, Capital account, Financial institutions, Financial markets, International trade, Market capitalization, North American Free Trade Agreement, Stock markets, Stocks

Keywords: Asia and Pacific, Capital account, Diversification, Dummy variable, Europe, Global, Industrial structure, International financial markets, Market capitalization, Mean absolute deviations, North American Free Trade Agreement, Portfolio manager, Region effect, Risk, Southeast Asia, Stock markets, Stock portfolio, Stocks, TMT firm, U.S. dollar, Western Europe, WP

Publication Details

  • Pages:

    28

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2002/202

  • Stock No:

    WPIEA2000202

  • ISBN:

    9781451874419

  • ISSN:

    1018-5941

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