Cross country stock market comovement: A macro perspective
| dc.contributor.author | Ateşağaoğlu, Orhan Erem | |
| dc.date.accessioned | 2022-10-11T09:25:56Z | |
| dc.date.available | 2022-10-11T09:25:56Z | |
| dc.date.issued | 2022-09 | |
| dc.description.abstract | ince 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. © 2022 The Author(s) | en_US |
| dc.fullTextLevel | Full Text | en_US |
| dc.identifier.doi | 10.1016/j.jmoneco.2022.05.005 | en_US |
| dc.identifier.issn | 0304-3932 | |
| dc.identifier.scopus | 2-s2.0-85131045108 | en_US |
| dc.identifier.uri | https://hdl.handle.net/11411/4559 | |
| dc.identifier.uri | https://doi.org/10.1016/j.jmoneco.2022.05.005 | |
| dc.identifier.wos | WOS:000861061100003 | en_US |
| dc.identifier.wosquality | Q1 | en_US |
| dc.indekslendigikaynak | Web of Science | en_US |
| dc.indekslendigikaynak | Scopus | en_US |
| dc.language.iso | en | en_US |
| dc.national | International | en_US |
| dc.numberofauthors | 4 | en_US |
| dc.pages | 34-48 | en_US |
| dc.publisher | Elsevier B.V. | en_US |
| dc.relation.ispartof | Journal of Monetary Economics | en_US |
| dc.relation.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.subject | Asset pricing | en_US |
| dc.subject | Foreign direct investment | en_US |
| dc.subject | International trade | en_US |
| dc.subject | Multinational firms | en_US |
| dc.subject | Portfolio diversification | en_US |
| dc.subject | Stock market comovement | en_US |
| dc.title | Cross country stock market comovement: A macro perspective | en_US |
| dc.type | Article | en_US |
| dc.volume | 130 | en_US |
