Firm-level evidence on international stock market movement

Robin Brooks and Marco Del Negro ()

No 2003-8, Working Paper from Federal Reserve Bank of Atlanta

Abstract: 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 twenty countries, we estimate a factor model that decomposes stock returns into global, country- and industry-specific shocks. We find a large and highly significant link: 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 over time since the mid-1980s.

Keywords: Financial markets; International finance; Risk (search for similar items in EconPapers)
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Date: 2003
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Related works:
Working Paper: Firm-Level Evidence on International Stock Market Comovement (2003)
Working Paper: Firm-level evidence on international stock market comovement (2005)
Journal Article: Firm-Level Evidence on International Stock Market Comovement (2006)
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