Stability and Forecasting of the Comovement Measures of International Stock Market Returns
Author | : Evi Kaplanis |
Publisher | : |
Total Pages | : 41 |
Release | : 1986 |
Genre | : Investments, Foreign |
ISBN | : |
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Author | : Evi Kaplanis |
Publisher | : |
Total Pages | : 41 |
Release | : 1986 |
Genre | : Investments, Foreign |
ISBN | : |
Author | : Mr.Marco Del Negro |
Publisher | : International Monetary Fund |
Total Pages | : 32 |
Release | : 2003-03-01 |
Genre | : Business & Economics |
ISBN | : 1451847645 |
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 | : Gordon Y. N. Tang |
Publisher | : |
Total Pages | : |
Release | : 2000 |
Genre | : |
ISBN | : |
Using a direct test on the equality of correlation matrices of 12 international stock markets, this paper examines the intertemporal stability in stock market co-movements. Contrary to previous findings, our empirical results show that for both domestic currency and US$-based returns, the shorter the time period considered, the more stable the patterns of stock market co-movement, especially in the period before the 1987 stock crash when domestic currency returns are used.
Author | : Wolfgang Drobetz |
Publisher | : Springer Science & Business Media |
Total Pages | : 346 |
Release | : 2013-06-29 |
Genre | : Business & Economics |
ISBN | : 3663085295 |
Wolfgang Drobetz provides empirical evidence on the time variation of expected stock returns over the stages of the business cycle.
Author | : Stephen Satchell |
Publisher | : Springer |
Total Pages | : 389 |
Release | : 2016-09-20 |
Genre | : Business & Economics |
ISBN | : 3319307940 |
This book presents a series of contributions on key issues in the decision-making behind the management of financial assets. It provides insight into topics such as quantitative and traditional portfolio construction, performance clustering and incentives in the UK pension fund industry, pension fund governance, indexation, and tracking errors. Markets covered include major European markets, equities, and emerging markets of South-East and Central Asia.
Author | : Kpate Adjaouté |
Publisher | : Centre for Economic Policy Research |
Total Pages | : 78 |
Release | : 2000 |
Genre | : Business & Economics |
ISBN | : 9781898128588 |
The advent of the euro is a significant event for portfolio managers, both within and outside the monetary union. The euro will affect portfolio decisions through a variety of channels and the emergence of a single currency marks the disappearance of explicit and psychological barriers to international investing. The set of investment opportunities qualifying as 'domestic' is expanding, while the need for diversification across currencies must now be met by an increased demand for assets which are not denominated in euros. This paper examines the principal factors influencing the portfolio reallocation process following the introduction of the euro. Three broad categories of possible portfolio allocation are considered: domestic versus non-domestic investment, debt versus equity investment, and public debt versus private debt investment.
Author | : Dexiang Mei |
Publisher | : Scientific Research Publishing, Inc. USA |
Total Pages | : 131 |
Release | : 2020-12-06 |
Genre | : Art |
ISBN | : 1649970536 |
The volatility has been one of the cores of the financial theory research, in addition to the stock markets is an important part of modern financial markets. Research on volatility and contagion effect in stock market is an important part of the theory of financial markets research. This book in-cludes the following four parts.