Author: Mr.Sakai Ando
Publisher: International Monetary Fund
ISBN: 1513512692
Category : Business & Economics
Languages : en
Pages : 33
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Book Description
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. portfolio investment asset position on the destination economy predicts a stronger stock return comovement between them. For large economies such as the United States and Germany, the portfolio investment position is also the best predictor among other connection variables. The paper discusses with a simple general equilibrium portfolio model that the empirical pattern is consistent with the behavior of index investors who trade in response to risk-on/risk-off shocks.
Author: Sakai Ando
Publisher:
ISBN: 9781513512709
Category : Electronic books
Languages : en
Pages : 34
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Book Description
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. portfolio investment asset position on the destination economy predicts a stronger stock return comovement between them. For large economies such as the United States and Germany, the portfolio investment position is also the best predictor among other connection variables. The paper discusses with a simple general equilibrium portfolio model that the empirical pattern is consistent with the behavior of index investors who trade in response to risk-on/risk-off shocks.
Author: Mr.Marco Del Negro
Publisher: International Monetary Fund
ISBN: 1451847645
Category : Business & Economics
Languages : en
Pages : 32
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Book 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 country-specific shocks by 1.5 percent. This link has grown stronger since the mid-1980s.
Author: José Afonso Faias
Publisher:
ISBN:
Category :
Languages : en
Pages : 54
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Book Description
We study the link between international stock return comovements and institutional investment. We test the hypothesis that the rise of institutional investors as shareholders of corporations worldwide has increased cross-country correlations and decreased cross-industry correlations. Using stock-level institutional holdings across 45 countries during the period 2001-2010, we find that industry and global factors are relatively more important than country factors in explaining stock return variation among stocks with higher institutional ownership. Industry diversification strategies offer more benefits than country diversification benefits for stocks with high institutional ownership. Our findings show that cross-border portfolio investment is a powerful force of international capital markets integration and convergence of asset prices across countries.
Author: Robin Brooks
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
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.
Author: Robin Brooks
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 46
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Book Description
The degree of comovement across national stock markets has increased dramatically since the mid-1990s. This has overturned a stylized fact in the international portfolio diversification literature that diversifying across countries is more effective for risk reduction than diversifying across industries. We investigate if this rise in comovement is a permanent phenomenon driven by greater economic and financial integration, or a temporary effect associated with the recent stock market bubble. At the global level, our results point to the bubble. At a regional level, we find evidence of a significant rise in market integration within Europe, possibly a reflection of institutional changes such as the EMU.
Author: Reena Aggarwal
Publisher: World Bank Publications
ISBN:
Category : Foreign exchange
Languages : en
Pages : 47
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Book Description
Author: Geert Bekaert
Publisher:
ISBN:
Category : International finance
Languages : en
Pages : 58
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Book Description
Author: Ling Liu
Publisher:
ISBN:
Category :
Languages : en
Pages : 26
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Book Description
Stock return comovement analysis is important to financial analysts, decision makers, and academic researchers, in many financial implications, such as, portfolio management, style investing, and market risk detecting. This paper examines firms' social media, in particular, microblogging metrics' role on analyzing stock return comovement. Social media allows firms to proactively connect with public users, customers, suppliers, and other business partners. It also provides us a large-scale and free data set to automatically and quickly uncover firms' social media metrics' influence on financial outcomes. Most prior studies of social media metrics focused on overall firm metrics and their predictability on stock returns. However, the role of firms proactive activities has been omitted. This paper filled this gap by using cross-sectional data from the US and China to investigate on how firm-specific social media metrics make an impact to the stock return comovement. The results show starting with the four-digit Global Industry Classification Standard (GICS) system, the stock groups that are divided by firms' effect microblogging metrics, have a higher comovement than six-digit GICS groups.
Author: Rita L. D'Ecclesia
Publisher:
ISBN:
Category :
Languages : en
Pages : 24
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Book Description
The interrelationship between international stock markets is becoming a key issue in international portfolio managment and risk measurement. The dynamics of security returns and their risk characteristics have a crucial role in the financial market's therory. Recent empirical studies have tested market efficiency measuring the degree of integration of international financial markets. These studies have shown that international markets react quickly to news but they are volatile and difficult to predict and with a changing correlation structure of security returns among countries.In this paper we analyze the nature of the relationship between the major international stock markets in Canada, Japan, U.K. and the U.S., using the common trends and common cycles approach. We investigate the presence of co-movements trying to detect a long-term stationary component, the common trend, and a short term stationary cyclical component, among international stock markets. The implications on international portfolio management are alos discussed.
