Firm-Level Evidence on International Stock Market Comovement

Robin Brooks and Marco Del Negro

No 1244, Kiel Working Papers from Kiel Institute for the World Economy (IfW Kiel)

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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/17799/1/kap1244.pdf (application/pdf)

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)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:ifwkwp:1244

Access Statistics for this paper

More papers in Kiel Working Papers from Kiel Institute for the World Economy (IfW Kiel) Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().