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01713cas a2200241 a 4500 |
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|c 5.00 USD
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|z 9781513509822
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|a 1018-5941
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|a BD-DhAAL
|c BD-DhAAL
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|a Ando, Sakai.
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|a International Financial Connection and Stock Return Comovement /
|c Sakai Ando.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2019.
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| 300 |
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|a 1 online resource (33 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 This paper studies whether bilateral international financial connection data help predict bilateral stock return comovement. It is shown that, when the United States is chosen as the benchmark, a larger U.S. portfolio investment asset position on the destination economy predicts a stronger stock return comovement between them. For large economies such as the United States and Germany, the portfolio investment position is also the best predictor among other connection variables. The paper discusses with a simple general equilibrium portfolio model that the empirical pattern is consistent with the behavior of index investors who trade in response to risk-on/risk-off shocks.
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|a Mode of access: Internet
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|a IMF Working Papers; Working Paper ;
|v No. 2019/181
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2019/181/001.2019.issue-181-en.xml
|z IMF e-Library
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