{
  "title": "Firm-Level Evidenceon International Stock Market Comovement",
  "publication": "IMF Working Papers, March 1, 2003",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2016/12/30/firm-level-evidenceon-international-stock-market-comovement-16387",
  "canonical": "https://www.imf.org/en/publications/wp/issues/2016/12/30/firm-level-evidenceon-international-stock-market-comovement-16387",
  "overlayPath": "/en/publications/wp/issues/2016/12/30/firm-level-evidenceon-international-stock-market-comovement-16387/index.md",
  "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 sho",
  "sections": [
    {
      "heading": "Summary",
      "content": "- The paper explores the link between international stock market comovement and the degree to which firms operate globally.\n- Using stock returns and balance sheet data for companies in 20 countries, the authors estimate a factor model that decomposes stock returns into global, country-specific and industry-specific shocks.\n- Key quantitative result: 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.\n- The link between firm internationalization and exposure to global shocks has grown stronger since the mid-1980s."
    },
    {
      "heading": "Methods and Data",
      "content": "- Data: stock returns and balance sheet data for companies in 20 countries.\n- Empirical approach: estimation of a factor model that decomposes stock returns into:\n  - global shocks,\n  - country-specific shocks,\n  - industry-specific shocks.\n- Cross-sectional regression analysis is used to relate firm-level international sales to exposures to the decomposed shocks."
    },
    {
      "heading": "Main Findings",
      "content": "- A 10 percent increase in a firm's international sales is associated with:\n  - a 2 percent increase in the exposure of its stock return to global shocks,\n  - a 1.5 percent decrease in the exposure to country-specific shocks.\n- The relationship between greater international sales and higher global shock exposure is large, highly significant, and has strengthened since the mid-1980s."
    },
    {
      "heading": "Subject Areas and Keywords",
      "content": "- Subject areas: Balance of payments, Capital account, Econometric analysis, Factor models, Financial institutions, Financial markets, National accounts, Personal income, Stock markets, Stocks.\n- Keywords: balance sheet, Capital account, cross-sectional regression, Diversification, Factor models, firm level, Global, goods firm, industrial structure, international financial markets, Personal income, risk, sales beta, sales firm, sales variable, Stock markets, Stocks, WP.\n\n---\n\n Content in this bundle\n\n- Firm-Level Evidence on International Stock Market Comovement - WP/03/55\n  - Firm-Level Evidence on International Stock Market Comovement - WP/03/55 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - Firm-Level Evidence on International Stock Market Comovement - WP/03/55 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/30/firm-level-evidenceon-international-stock-market-comovement-16387"
    }
  ],
  "bullets": [
    "[Markdown version](/en/publications/wp/issues/2016/12/30/firm-level-evidenceon-international-stock-market-comovement-16387/index.md)",
    "[Structured JSON version](/en/publications/wp/issues/2016/12/30/firm-level-evidenceon-international-stock-market-comovement-16387/index.json)",
    "[Bundle manifest](/en/publications/wp/issues/2016/12/30/firm-level-evidenceon-international-stock-market-comovement-16387/bundle-manifest.json)",
    "Authors: Robin Brooks, Marco Del Negro",
    "Published: March 1, 2003",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781451847642.001",
    "The paper explores 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, the authors estimate a factor model that decomposes stock returns into global, country-specific and industry-specific shocks.",
    "Key quantitative result: 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.",
    "The link between firm internationalization and exposure to global shocks has grown stronger since the mid-1980s.",
    "Data: stock returns and balance sheet data for companies in 20 countries.",
    "Empirical approach: estimation of a factor model that decomposes stock returns into:",
    "Cross-sectional regression analysis is used to relate firm-level international sales to exposures to the decomposed shocks.",
    "A 10 percent increase in a firm's international sales is associated with:",
    "The relationship between greater international sales and higher global shock exposure is large, highly significant, and has strengthened since the mid-1980s.",
    "Subject areas: Balance of payments, Capital account, Econometric analysis, Factor models, Financial institutions, Financial markets, National accounts, Personal income, Stock markets, Stocks.",
    "Keywords: balance sheet, Capital account, cross-sectional regression, Diversification, Factor models, firm level, Global, goods firm, industrial structure, international financial markets, Personal income, risk, sales beta, sales firm, sales variable, Stock markets, Stocks, WP.",
    "**Firm-Level Evidence on International Stock Market Comovement - WP/03/55**"
  ],
  "related": [
    {
      "title": "Firm-Level Evidence on International Stock Market Comovement - WP/03/55",
      "role": "document",
      "sourceUrl": "https://www.imf.org/-/media/websites/imf/imported-full-text-pdf/external/pubs/ft/wp/2003/_wp0355.pdf",
      "summary": {
        "path": "/-/media/websites/imf/imported-full-text-pdf/external/pubs/ft/wp/2003/_wp0355.pdf.md",
        "mime": "text/markdown"
      },
      "binary": {
        "path": "/-/media/websites/imf/imported-full-text-pdf/external/pubs/ft/wp/2003/_wp0355.pdf",
        "mime": "application/pdf"
      }
    }
  ],
  "alternates": {
    "markdown": "/en/publications/wp/issues/2016/12/30/firm-level-evidenceon-international-stock-market-comovement-16387/index.md",
    "json": "/en/publications/wp/issues/2016/12/30/firm-level-evidenceon-international-stock-market-comovement-16387/index.json",
    "bundleManifest": "/en/publications/wp/issues/2016/12/30/firm-level-evidenceon-international-stock-market-comovement-16387/bundle-manifest.json"
  },
  "generatedAtUtc": "2026-09-17T06:20:06.754Z"
}