Firm-Level Evidenceon International Stock Market Comovement /
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 sho...
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| Format: | Revue |
| Langue: | English |
| Publié: |
Washington, D.C. :
International Monetary Fund,
2003.
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| Collection: | IMF Working Papers; Working Paper ;
No. 2003/055 |
| Accès en ligne: | Full text available on IMF |