Firm-Level Evidenceon International Stock Market Comovement

Robin Brooks and Marco Del Negro

No 2003/055, IMF Working Papers from International Monetary Fund

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 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.

Keywords: WP; sales beta; balance sheet; Diversification; risk; international financial markets; industrial structure; firm level; sales firm; sales variable; cross-sectional regression; goods firm; Stock markets; Stocks; Capital account; Personal income; Factor models; Global (search for similar items in EconPapers)
Pages: 31
Date: 2003-03-01
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Firm-Level Evidence on International Stock Market Comovement (2006)
Working Paper: Firm-level evidence on international stock market comovement (2005)
Working Paper: Firm-Level Evidence on International Stock Market Comovement (2005)
Working Paper: Firm-level evidence on international stock market movement (2003)
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