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http://hdl.handle.net/10419/17799
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| Title: | | Firm-Level Evidence on International Stock Market Comovement  |
| 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: | | Publikationen von Forscherinnen und Forschern des IfW Kieler Arbeitspapiere, IfW
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