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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/19519| Title: | Firm-level evidence on international stock market comovement |
| Keywords: | G11 G15 ddc:330 Diversification risk international financial markets industrial structure Internationaler Finanzmarkt Kapitalertrag Portfolio-Management Portfolio-Investition Internationaler Preiszusammenhang Globalisierung Welt |
| Issue Date: | 16-Oct-2013 |
| Description: | 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 countryspecific shocks by 1.5 percent. This link has grown stronger since the mid-1980s. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/19519 |
| Other Identifiers: | http://hdl.handle.net/10419/19519 ppn:487739485 RePEc:zbw:bubdp1:3370 |
| Appears in Collections: | EconStor |
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