| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16021 |
| DP16021 Cross-Country Stock Market Comovement: A Macro Perspective | |
| Alexios Anagnostopoulos; Orhan Erem Atesagaoglu; Elisa Faraglia; Chryssi Giannitsarou | |
| 发表日期 | 2022-05-12 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | Since the 1990s, there has been a simultaneous rise in cross-country stock market correlations and FDI positions. We establish an empirical relationship between these two, for pairs of developed economies that survives controlling for relevant factors. At firm level, we find that stock returns of multinationals that invest in technology capital are more correlated with world stock markets. Using a calibrated two-country asset pricing model with multinationals, we find that the increase in FDI accounts for one third of the rise in the observed stock market correlations. When allowing for increases in trade and portfolio diversification, we find that these two factors do not generate an increase in stock market correlations. |
| 主题 | International Macroeconomics and Finance |
| 关键词 | Stock market comovement Foreign direct investment Multinational firms Asset pricing International trade Portfolio diversification |
| URL | https://cepr.org/publications/dp16021-0 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/546327 |
| 推荐引用方式 GB/T 7714 | Alexios Anagnostopoulos,Orhan Erem Atesagaoglu,Elisa Faraglia,et al. DP16021 Cross-Country Stock Market Comovement: A Macro Perspective. 2022. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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