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1 edition of International stock returns and market integration found in the catalog.

International stock returns and market integration

Robin Brooks

International stock returns and market integration

a regional perspective

by Robin Brooks

  • 365 Want to read
  • 19 Currently reading

Published by International Monetary Fund, Research Department in [Washington, D.C.] .
Written in English

    Subjects:
  • Stocks -- Prices -- Econometric models.,
  • Portfolio management -- Econometric models.,
  • Risk management -- Econometric models.,
  • Investments, Foreign -- Econometric models.,
  • Capital market -- Econometric models.,
  • International finance -- Econometric models.

  • Edition Notes

    StatementRobin Brooks and Marco Del Negro.
    GenreEconometric models.
    SeriesIMF working paper -- WP/02/202
    ContributionsDel Negro, Marco., International Monetary Fund. Research Dept.
    The Physical Object
    Pagination28 p. :
    Number of Pages28
    ID Numbers
    Open LibraryOL20413597M

      Increasingly, however, returns to large-cap stocks or stock market indices tend to comove, mitigating the benefits from international diversification. In contrast, stocks of locally oriented, small companies do not exhibit the same by: Comparative Analysis of Indian Stock Market with International Markets Debjiban Mukherjee T. A. Pai Management Institute, Manipal, India Abstract The stock market is witnessing heightened activities and is increasingly gaining importance. In the current context of globalization and the subsequent integration of theFile Size: KB.

    Market integration in developed and emerging markets: Evidence from the CAPM analysts regress a stock's returns on the returns of a market portfolio. The () define global market integration as a function of the portfolio choices of a company's stockholders. Integration prevails when a company's stockholders hold globallyFile Size: 1MB. Integration of India’s stock market with global and major regional markets Janak Raj and Sarat Dhal1 1. Introduction National stock markets have emerged as the major channel for financial integration of emerging market economies amid globalisation, deregulation and advances in information technology.

    "Firm-Level Evidenceon International Stock Market Comovement," IMF Working Papers 03/55, International Monetary Fund. Robin Brooks & Marco Del Negro, " International stock returns and market integration: A regional perspective," FRB Atlanta Working Paper , Federal Reserve Bank of Atlanta. In this regression, i(t) is the return on asset R i for month t, RF(t) is the riskfree rate, RM(t) is the market return, MBS(t) is the difference between the returns on diversified portfolios of small stocks and big stocks, and HML(t) is the difference between the returns on diversified portfolios of high book-to- market (value) stocks and low book-to-market (growth) stocks.


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International stock returns and market integration by Robin Brooks Download PDF EPUB FB2

We investigate the relative importance of country and industry effects in international stock returns, with the innovation that we decompose country effects into region and within-region country effects. We divide the global stock market into the Americas, Asia, and Europe and find that most of the variation explained by country effects is actually due to region effects.

Title: International Stock Returns and Market Integration: A Regional Perspecti ve - WP/02/ Created Date: 12/9/ PM. Request PDF | International Stock Returns and Market Integration: A Regional Perspective | An empirical regularity in the portfolio diversification literature is the importance of.

This book volume brings together carefully selected scholarly works covering four inter-related topic areas in international finance. The first section deals with the efficacy and determinants of central bank currency interventions by the Bank of Japan and the Reserve Bank of Australia, the two of the most active central banks in the currency markets in the s.

International stock returns and market integration: A regional perspective An empirical regularity in the portfolio diversification literature is the importance of country effects in explaining international return variation.

International Stock Returns and Market Integration: A Regional Perspective. International Monetary Fund Working Paper 02/ (). Local Return Factors and Turnover in Emerging Stock : Robin Brooks and Marco Del Negro.

Cross-Border Spillovers of General Purpose Technologies, Financial Market Integration, and International Stock Returns. Po-Hsuan Hsu Wei Yang. University of Hong Kong Indiana University. ABSTRACT. We propose that general purpose technologies (GPTs) —Author: Po-Hsuan Hsu, Wei Yang.

Stock return predictability and market integration: The role of global and local information David G. McMillan1* Abstract: This paper examines the predictability of a range of international stock markets where we allow the presence of both local and global predictive factors.

International Stock Return Comovements Geert Bekaert, Robert J. Hodrick, Xiaoyan Zhang. NBER Working Paper No. Issued in December NBER Program(s):Asset Pricing, International Finance and Macroeconomics We examine international stock return comovements using country-industry and country-style by: The historical performance is meant to show changes in market trends across the top international stock markets in the MSCI EAFE ex.

U.S. over the past fifteen years. Returns represent total annual returns (reinvestment of all distributions) in U.S. dollars and does not include fees and expenses. Globalization and Market Integration. during the last few years towards the integration of international capital markets.

both in the first and second moments of the stock returns. French (, ), which includes a market factor, a size factor and a book-to-market-equity factor for four countries (U.S., U.K., Canada, and Japan). He finds that only the local, country-specific components of the global factors are able to explain the time-series variation in the stock returns File Size: 1MB.

Get this from a library. International stock returns and market integration: a regional perspective. [Robin Brooks; Marco Del Negro; International Monetary Fund. Research Department.] -- We investigate the relative importance of country and industry effects in international stock returns, with the innovation that we decompose country effects into.

We apply this model to stock returns in three different regions, Europe, South-East Asia and Latin America. In addition to providing new insights on contagion during crisis periods, we document patterns through time in world and regional market integration and measure the proportion of volatility driven by global, regional, as well as, local Cited by:   We investigate the relative importance of country and industry effects in international stock returns, with the innovation that we decompose country effects into region and within-region country effects.

We divide the global stock market into the Americas, Asia, and Europe and find that most of the variation explained by country effects is actually due to region Cited by: Keywords: Stock market integration, Global stock markets.

a great deal of recent attention is the integration of international stock markets. Increased trade between nations covariance of excess returns on national stock markets over the period They find overwhelming.

International Stock Returns and Market Integration. We investigate the relative importance of country and industry effects in international stock returns, with the innovation that we decompose country effects into region and within-region country effects.

stock portfolios, financial economics, international capital markets, financial Author: Marco Del Negro and Robin Brooks. Since stock market integration may represent the potential benefits of international portfolio diversification and financial stability of a country, besides explaining stock returns variations by considering national factors, the significance of global factors and the integration of the world’s.

The results show evidence of the existence of short-run integration among stock markets in emerging countries and the developed markets. However, the long-run coefficients for stock market returns in all emerging countries show a significant relationship only with Germany stock market by: Fundamentals and Stock Returns in Japan Louis K.C.

Chan, Yasushi Hamao, and Josef Lakonishok Working Paper No. 45 Louis Chan and Josef Lakonishok are from the College of Commerce and Business Administration, University of Illinois at Urbana-Champaign.

Yasushi Hamao is from the Graduate School of InternationalCited by:. – The purpose of this paper is to organize and take stock of the present situation of research on stock market integration by reviewing the available literature, to provide quick and easy access for future researchers.

Another objective of the present study is to classify the literature and to provide the comprehensive bibliography on stock market integration and to Cited by: examine the co-integration of international stock markets of various countries over the past 11 years.

The study of cointegration of stock markets is essential because it is a direct consequence of globalization and it has important implications for investors. One other motivation I have for.An earlier version of this paper was circulated as “International Stock Returns and Market Integration: A Regional Perspective.” We are grateful to Geert Rouwenhorst for extensive comments and suggestions and to Eisuke Okada for excellent research assistance.