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The Determinants of Stock Returns in a Small Open Economy

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Author Info
Séverine CAUCHIE (HEC-University of Geneva)
Martin HOESLI (HEC-University of Geneva; FAME; University of Aberdeen (Business School))
Dušan ISAKOV (HEC-University of Geneva and FAME)

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Abstract

This paper examines the determinants of stock returns in a small open economy using an APT framework. The analysis is conducted for the Swiss stock market which has the particularity of including a large proportion of firms that are exposed to foreign economic conditions. Both a statistical and a macroeconomic implementation of the model are performed for the period 1986-2002 with monthly returns on industrial sector indices. The results show that the statistically determined factors yield a better representation of the determinants of stock returns than the macroeconomic variables and that stock returns are influenced by both global and local economic conditions. This suggests that the Swiss stock market is an internationally imperfectly integrated market.

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Publisher Info
Paper provided by International Center for Financial Asset Management and Engineering in its series FAME Research Paper Series with number rp54.

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Date of creation: May 2003
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Handle: RePEc:fam:rpseri:rp54

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Related research
Keywords: Statistical APT; Macroeconomic APT; Market integration; Risk factors;

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Find related papers by JEL classification:
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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  1. repec:bep:glecon:6:2007:3:6 is not listed on IDEAS
  2. Manuel Ammann & Michael Steiner, 2008. "Risk Factors for the Swiss Stock Market," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 144(I), pages 1-35, March. [Downloadable!]
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This page was last updated on 2009-11-19.

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