Firm-level evidence on international stock market comovement

Robin Brooks and Marco Del Negro

No 2005,11, Discussion Paper Series 1: Economic Studies from Deutsche Bundesbank

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 countryspecific shocks by 1.5 percent. This link has grown stronger since the mid-1980s.

Keywords: Diversification; risk; international financial markets; industrial structure (search for similar items in EconPapers)
JEL-codes: G11 G15 (search for similar items in EconPapers)
Date: 2005
New Economics Papers: this item is included in nep-fin, nep-fmk and nep-rmg
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Citations: View citations in EconPapers (2)

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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 movement (2003)
Working Paper: Firm-Level Evidenceon International Stock Market Comovement (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bubdp1:3370

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