Resource title

Firm-level evidence on international stock market comovement

Resource image

image for OpenScout resource :: Firm-level evidence on international stock market comovement

Resource description

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 countryspecific shocks by 1.5 percent. This link has grown stronger since the mid-1980s.

Resource author

Robin Brooks, Marco Del Negro

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/19519

Resource license

Adapt according to the presented license agreement and reference the original author.