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Title:Firm-Level Evidence on International Stock Market Comovement PDF Logo
Authors:Brooks, Robin
Del Negro, Marco
Issue Date:2005
Series/Report no.:Kieler Arbeitspapiere 1244
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.
Subjects:Diversification ; risk ; international financial markets ; industrial structure
JEL:G15
G11
Document Type:Working Paper
Appears in Collections:Kieler Arbeitspapiere, IfW
Publikationen von Forscherinnen und Forschern des IfW

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