International comparison of stock market valuation: Evidence from a new index

Axel Jochem and Stefan Reitz

No 61, Kiel Policy Briefs from Kiel Institute for the World Economy

Abstract: This Kiel Policy Brief demonstrates the calculation of a new stock market index informing about the price competitiveness of a country's assets vis-à-vis its foreign competitors. In line with the portfolio balance approach we empirically identify net foreign holdings of a country's assets as the long-run driver of the index dynamics. Both, the index and its fundamental value are discussed for a number of important economies shading new light on the relative assessment of financial assets on international capital markets.

Keywords: Real Effective Exchange Rate; Capital Flows; Financial Markets (search for similar items in EconPapers)
JEL-codes: E58 F31 G15 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:ifwkpb:61

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