International Stock Return Comovements
Title | International Stock Return Comovements PDF eBook |
Author | Geert Bekaert |
Publisher | |
Pages | 76 |
Release | 2006 |
Genre | Rate of return |
ISBN |
We examine international stock return comovements using country-industry and country-style portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston-Rouwenhorst (1994) model. We then establish the following stylized facts regarding stock return comovements. First, we do not find evidence for an upward trend in return correlations, excpet for the European stock markets. Second, the increasing imporatnce of industry factors relative to country factors was a short-lived, temporary phenomenon. Third, we find no evidence for a trend in idiosyncratic risk in any of the countries we examine.
Firm-Level Evidenceon International Stock Market Comovement
Title | Firm-Level Evidenceon International Stock Market Comovement PDF eBook |
Author | Mr.Marco Del Negro |
Publisher | International Monetary Fund |
Pages | 32 |
Release | 2003-03-01 |
Genre | Business & Economics |
ISBN | 1451847645 |
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.
Information, Trading Volume, and International Stock Return Comovements
Title | Information, Trading Volume, and International Stock Return Comovements PDF eBook |
Author | Louis Gagnon |
Publisher | |
Pages | 50 |
Release | 2010 |
Genre | |
ISBN |
We investigate the joint dynamics of returns and trading volume of 556 foreign stocks cross-listed on U.S. markets. Heterogeneous-agent trading models rationalize how trading volume reflects the quality of traders' information signals and how it helps to disentangle whether returns are associated with portfolio-rebalancing trades or information-motivated trades. Based on these models, we hypothesize that returns in the home (U.S.) market on high-volume days are more likely to continue to spill over into the U.S. (home) market for those cross-listed stocks subject to the risk of greater informed trading. Our empirical evidence provides support for these predictions, which confirms the link between information, trading volume, and international stock return comovements that has eluded previous empirical investigations.
Additions to Market Indices and the Comovement of Stock Returns Around the World
Title | Additions to Market Indices and the Comovement of Stock Returns Around the World PDF eBook |
Author | Yishay Yafeh |
Publisher | International Monetary Fund |
Pages | 36 |
Release | 2011-03-01 |
Genre | Business & Economics |
ISBN | 1455218952 |
Using newly-constructed data covering the last decade, we document that, in most of forty markets, when added to the main index, firms’ returns experience an increase in comovement with the rest of the index, reflected in higher beta and greater explanatory power of the market return. Stock turnover and analyst coverage also typically increase upon inclusion. Using various tests, we find the demand-based view of comovement (the category/habitat theories of Barberis, Shleifer and Wurgler, 2005) to provide a good explanation for many of our findings. Some results, though, suggest that information-related factors are also important in explaining the increased comovement.
Firm-Level Evidence on International Stock Market Comovement
Title | Firm-Level Evidence on International Stock Market Comovement PDF eBook |
Author | Robin Brooks |
Publisher | |
Pages | |
Release | 2010 |
Genre | |
ISBN |
We explore the link between international stock market comovement and the extent 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- and industry-specific shocks. We find a large and statistically significant link for global shocks. A firm raising its international sales by 10 percent raises the exposure of its stock return to global shocks by two percent. This link has grown stronger over time since the mid-1980s. We find no similarly robust link between international sales and exposure to country-specific shocks.
Identifying Asymmetric Comovements of International Stock Market Returns
Title | Identifying Asymmetric Comovements of International Stock Market Returns PDF eBook |
Author | Fuchun Li |
Publisher | |
Pages | |
Release | 2010 |
Genre | Stock exchanges |
ISBN |
Global Stock Return Comovements
Title | Global Stock Return Comovements PDF eBook |
Author | Kei-Ichiro Inaba |
Publisher | |
Pages | |
Release | 2018 |
Genre | |
ISBN |