Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/100748
Authors: 
Brooks, Robin
Del Negro, Marco
Year of Publication: 
2003
Series/Report no.: 
Working Paper, Federal Reserve Bank of Atlanta 2003-8
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 twenty countries, we estimate a factor model that decomposes stock returns into global, country- and industry-specific shocks. We find a large and highly significant link: 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 country-specific shocks by 1.5 percent. This link has grown stronger over time since the mid-1980s.
Subjects: 
Financial markets
International finance
Risk
Document Type: 
Working Paper

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