Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153884
Authors: 
Schmitz, Martin
Year of Publication: 
2012
Series/Report no.: 
ECB Working Paper 1451
Abstract: 
In light of rapidly increasing foreign equity liability positions of emerging market economies, we test for a necessary condition of international risk sharing, namely for systematic patterns between idiosyncratic output fluctuations and financial market developments. Panel analysis of 22 emerging market economies shows strong evidence for pro-cyclicality of capital gains on domestic stock markets both over short and medium term horizons. This implies that domestic output fluctuations can be hedged through cross-border ownership of financial markets.
Subjects: 
capital gains
Cross-Border Investment
Emerging market economies
financial globalisation
International risk sharing
JEL: 
F21
F30
G15
Document Type: 
Working Paper

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