{
  "title": "International Financial Connection and Stock Return Comovement",
  "publication": "IMF Working Papers, August 22, 2019",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2019/08/22/international-financial-connection-and-stock-return-comovement-48552",
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  "summary": "This paper studies whether bilateral international financial connection data help predict bilateral stock return comovement. It is shown that, when the United States is chosen as the benchmark, a larger U.S.",
  "sections": [
    {
      "heading": "Main finding",
      "content": "- Larger U.S. portfolio investment asset position on the destination economy predicts a stronger stock return comovement between the United States and that destination when the United States is chosen as the benchmark.\n- For large economies such as the United States and Germany, the portfolio investment position is the best predictor among other connection variables."
    },
    {
      "heading": "Empirical approach and model",
      "content": "- Uses bilateral international financial connection data to predict bilateral stock return comovement.\n- Discusses a simple general equilibrium portfolio model.\n- The empirical pattern is consistent with index investors trading in response to risk-on/risk-off shocks."
    },
    {
      "heading": "Subject areas and keywords",
      "content": "- Subjects: Balance of payments, Bond yields, Financial institutions, Financial markets, Foreign direct investment, Portfolio investment, Stock markets, Stocks.\n- Keywords: asset data, asset economy, Bond yields, comovement data, comovement variable, equity return, Foreign direct investment, Global, international investment position, Portfolio investment, portfolio investment data, portfolio investment position, risk tolerance, risk-off, risk-on, Stock markets, stock return behavior, stock return comovement, stock return correlation, Stocks, WP.\n\n---\n\n Content in this bundle\n\n- Working Paper\n  - Working Paper (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - Working Paper (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2019/08/22/international-financial-connection-and-stock-return-comovement-48552"
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    "Authors: Sakai Ando",
    "Published: August 22, 2019",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781513509822.001",
    "Larger U.S. portfolio investment asset position on the destination economy predicts a stronger stock return comovement between the United States and that destination when the United States is chosen as the benchmark.",
    "For large economies such as the United States and Germany, the portfolio investment position is the best predictor among other connection variables.",
    "Uses bilateral international financial connection data to predict bilateral stock return comovement.",
    "Discusses a simple general equilibrium portfolio model.",
    "The empirical pattern is consistent with index investors trading in response to risk-on/risk-off shocks.",
    "Subjects: Balance of payments, Bond yields, Financial institutions, Financial markets, Foreign direct investment, Portfolio investment, Stock markets, Stocks.",
    "Keywords: asset data, asset economy, Bond yields, comovement data, comovement variable, equity return, Foreign direct investment, Global, international investment position, Portfolio investment, portfolio investment data, portfolio investment position, risk tolerance, risk-off, risk-on, Stock markets, stock return behavior, stock return comovement, stock return correlation, Stocks, WP.",
    "**Working Paper**"
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