Comovements In International Stock Markets
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| Author | : Rita L. D'Ecclesia |
| Publisher | : |
| Total Pages | : 24 |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
Download Comovements and Correlations in International Stock Markets Book in PDF, Epub and Kindle
The interrelationship between international stock markets is becoming a key issue in international portfolio managment and risk measurement. The dynamics of security returns and their risk characteristics have a crucial role in the financial market's therory. Recent empirical studies have tested market efficiency measuring the degree of integration of international financial markets. These studies have shown that international markets react quickly to news but they are volatile and difficult to predict and with a changing correlation structure of security returns among countries.In this paper we analyze the nature of the relationship between the major international stock markets in Canada, Japan, U.K. and the U.S., using the common trends and common cycles approach. We investigate the presence of co-movements trying to detect a long-term stationary component, the common trend, and a short term stationary cyclical component, among international stock markets. The implications on international portfolio management are alos discussed.
| Author | : Claudio Morana |
| Publisher | : |
| Total Pages | : |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
Download Comovements in International Stock Markets Book in PDF, Epub and Kindle
In the paper monthly realized moments for stock market returns for the US, the UK, Germany and Japan are employed to assess the linkages holding across moments and markets over the period 1973-2004. In the light of the theoretical framework proposed in the paper, the results point to a progressive integration of the four stock markets, leading to increasing comovements in prices, returns, volatility and correlation. Evidence of a positive and non spurious linkage between volatility and correlation, and a trend increase in correlation coefficients over time, is also found. All the above mentioned linkages seem to be particularly strong for the US and Europe, while the persistent stagnation of the economy and the weak fundamentals over the 1990s may have been the cause of the more idiosyncratic behavior of the Japanese stock market.
| Author | : Mr.Marco Del Negro |
| Publisher | : International Monetary Fund |
| Total Pages | : 32 |
| Release | : 2003-03-01 |
| Genre | : Business & Economics |
| ISBN | : 1451847645 |
Download Firm-Level Evidenceon International Stock Market Comovement Book in PDF, Epub and Kindle
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 country-specific shocks by 1.5 percent. This link has grown stronger since the mid-1980s.
| Author | : Robin Brooks |
| Publisher | : International Monetary Fund |
| Total Pages | : 46 |
| Release | : 2002-09 |
| Genre | : Business & Economics |
| ISBN | : |
Download The Rise in Comovement Across National Stock Markets Book in PDF, Epub and Kindle
The degree of comovement across national stock markets has increased dramatically since the mid-1990s. This has overturned a stylized fact in the international portfolio diversification literature that diversifying across countries is more effective for risk reduction than diversifying across industries. We investigate if this rise in comovement is a permanent phenomenon driven by greater economic and financial integration, or a temporary effect associated with the recent stock market bubble. At the global level, our results point to the bubble. At a regional level, we find evidence of a significant rise in market integration within Europe, possibly a reflection of institutional changes such as the EMU.
| Author | : Geert Bekaert |
| Publisher | : |
| Total Pages | : 76 |
| Release | : 2006 |
| Genre | : Rate of return |
| ISBN | : |
Download International Stock Return Comovements Book in PDF, Epub and Kindle
We examine international stock return comovements using country-industry and country-style portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston-Rouwenhorst (1994) model. We then establish the following stylized facts regarding stock return comovements. First, we do not find evidence for an upward trend in return correlations, excpet for the European stock markets. Second, the increasing imporatnce of industry factors relative to country factors was a short-lived, temporary phenomenon. Third, we find no evidence for a trend in idiosyncratic risk in any of the countries we examine.
| Author | : Fuchun Li |
| Publisher | : |
| Total Pages | : |
| Release | : 2010 |
| Genre | : Stock exchanges |
| ISBN | : |
Download Identifying Asymmetric Comovements of International Stock Market Returns Book in PDF, Epub and Kindle
| Author | : Anthony John Richards |
| Publisher | : International Monetary Fund |
| Total Pages | : 36 |
| Release | : 1996-04 |
| Genre | : Business & Economics |
| ISBN | : |
Download Comovements in National Stock Market Returns Book in PDF, Epub and Kindle
This paper is a response to the literature that tests for cointegration between national stock market indices. It argues that apparent findings of cointegration in other studies may often be due to the use of asymptotic, rather than small-sample, critical values. In fact, economic theory suggests that cointegration is unlikely to be observed in efficient markets. However, this paper finds some evidence for the long-horizon predictability of relative returns, and the existence of “winner-loser” reversals across 16 national equity markets. A conclusion is that national stock market indices include a common world component and two country-specific components, one permanent and one transitory.
| Author | : Sema Tasdemir |
| Publisher | : |
| Total Pages | : 132 |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
Download Volatility and Comovement in International Stock Markets and the Role of Exchange Rate Fluctuations Book in PDF, Epub and Kindle
| Author | : Claudio Morana |
| Publisher | : |
| Total Pages | : |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
Download International Stock Markets Comovements Book in PDF, Epub and Kindle
The contributions of economic and financial integration to international stock markets comovements are investigated by means of a large scale macroeconometric model, set in the factor vector autoregressive framework (F-VAR). The findings point to a relevant role of both economic and financial integration in explaining international stock markets comovements for the G-7 countries. While economic integration would exercise its effects through the common response of stock markets to global economic shocks, financial integration would operate through financial shocks spillovers, particularly at the regional level.
| Author | : Louis Gagnon |
| Publisher | : |
| Total Pages | : 50 |
| Release | : 2010 |
| Genre | : |
| ISBN | : |
Download Information, Trading Volume, and International Stock Return Comovements Book in PDF, Epub and Kindle
We investigate the joint dynamics of returns and trading volume of 556 foreign stocks cross-listed on U.S. markets. Heterogeneous-agent trading models rationalize how trading volume reflects the quality of traders' information signals and how it helps to disentangle whether returns are associated with portfolio-rebalancing trades or information-motivated trades. Based on these models, we hypothesize that returns in the home (U.S.) market on high-volume days are more likely to continue to spill over into the U.S. (home) market for those cross-listed stocks subject to the risk of greater informed trading. Our empirical evidence provides support for these predictions, which confirms the link between information, trading volume, and international stock return comovements that has eluded previous empirical investigations.
