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Firm-Level Evidenceon International Stock Market Comovement
Mr.Marco Del NegroMr.Robin Brooks
出版International Monetary Fund, 2003-03-01
主題Business & Economics / Finance / GeneralBusiness & Economics / Investments & Securities / StocksBusiness & Economics / Exports & Imports
ISBN14518476459781451847642
URLhttp://books.google.com.hk/books?id=ZFMYEAAAQBAJ&hl=&source=gbs_api
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註釋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.