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|z 9781451847642
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|a 1018-5941
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|a Brooks, Robin.
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|a Firm-Level Evidenceon International Stock Market Comovement /
|c Robin Brooks, Marco Del Negro.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2003.
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|a 1 online resource (31 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a 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.
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|a Mode of access: Internet
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|a Del Negro, Marco.
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|a IMF Working Papers; Working Paper ;
|v No. 2003/055
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2003/055/001.2003.issue-055-en.xml
|z IMF e-Library
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