Advanced Search
MyIDEAS: Login to save this paper or follow this series

The New Economy and Global Stock Return

Contents:

Author Info

  • Luis Catão
  • Robin Brooks

Abstract

This paper revisits the relative importance of global versus country-specific factors underlying stock returns. It constructs a new firm level data set covering emerging and developed markets and estimates a simple factor model, which breaks down stock returns into a global business cycle factor, global industry factors, country-specific factors and firm-level effects. The results indicate that the share of variation in stock returns explained by global industry factors has grown sharply since the mid-1990s, at the expense of country-specific factors. Foremost among the global factors is a “new economy” factor, which has become a key determinant of global stock returns.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=3937
Download Restriction: no

Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 00/216.

as in new window
Length: 39
Date of creation: 01 Dec 2000
Date of revision:
Handle: RePEc:imf:imfwpa:00/216

Contact details of provider:
Postal: International Monetary Fund, Washington, DC USA
Phone: (202) 623-7000
Fax: (202) 623-4661
Email:
Web page: http://www.imf.org/external/pubind.htm
More information through EDIRC

Order Information:
Web: http://www.imf.org/external/pubs/pubs/ord_info.htm

Related research

Keywords: Stock markets; Economic models; stock returns; stock market; equity markets; standard deviations; standard deviation; equation; correlation; explanatory power; national equity markets; stock market capitalization; heteroscedasticity; correlations; covariances; global stock market; statistic; stock prices; dummy variables; dummy variable; covariance; time series; financial economics; financial contagion; stock market crash; stock market indices; emerging markets ? stocks; statistics; cross-country variation; stock market capitalizations; equity market; random walks; world stock market; international finance;

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Luis Catão & Allan Timmermann, 2003. "Country and Industry Dynamics in Stock Returns," IMF Working Papers 03/52, International Monetary Fund.
  2. Paramita Mukherjee, 2011. "An exploration on volatility across India and some developed and emerging equity markets," Asia-Pacific Development Journal, United Nations Economic and Social Commission for Asia and the Pacific (ESCAP), United Nations Economic and Social Commission for Asia and the Pacific (ESCAP), vol. 18(2), pages 79-103, December.
  3. Chan-Lau, Jorge A. & Ivaschenko, Iryna, 2003. "Asian Flu or Wall Street virus? Tech and non-tech spillovers in the United States and Asia," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 13(4-5), pages 303-322, December.
  4. Flavin, Thomas J., 2004. "The effect of the Euro on country versus industry portfolio diversification," Journal of International Money and Finance, Elsevier, Elsevier, vol. 23(7-8), pages 1137-1158.
  5. Piti Disyatat & Gaston Gelos, 2001. "The Asset Allocation of Emerging Market Mutual Funds," IMF Working Papers 01/111, International Monetary Fund.
  6. Kaltenhaeuser, Bernd, 2003. "Country and sector-specific spillover effects in the euro area, the United States and Japan," Working Paper Series, European Central Bank 0286, European Central Bank.
  7. Jorge A. Chan-Lau & Iryna V. Ivaschenko, 2002. "Asian Flu or Wall Street Virus? Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia," IMF Working Papers 02/154, International Monetary Fund.
  8. Jose Faias & Miguel Ferreira & Pedro Santa-Clara & Pedro Matos, 2011. "Does Institutional Ownership Matter for International Stock Return Comovement?," EcoMod2011 3038, EcoMod.
  9. Hans-Joachim Voth, 2003. "Convertibility, currency controls and the cost of capital in Western Europe, 1950-1999," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 8(3), pages 255-276.
  10. Salehizadeh, Mehdi, 2003. "U.S. multinationals and the home bias puzzle: an empirical analysis," Global Finance Journal, Elsevier, vol. 14(3), pages 303-318, December.
  11. Berben, Robert-Paul & Jansen, W. Jos, 2005. "Comovement in international equity markets: A sectoral view," Journal of International Money and Finance, Elsevier, Elsevier, vol. 24(5), pages 832-857, September.
  12. L. Baele & K. Inghelbrecht, 2006. "Structural versus Temporary Drivers of Country and Industry Risk," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration 06/413, Ghent University, Faculty of Economics and Business Administration.
  13. Li Yang & Francis Tapon & Yiguo Sun, 2006. "International correlations across stock markets and industries: trends and patterns 1988-2002," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 16(16), pages 1171-1183.
  14. Xing, Xuejing, 2004. "A note on the time-series relationship between market industry concentration and market volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 14(2), pages 105-115, April.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:imf:imfwpa:00/216. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jim Beardow) or (Hassan Zaidi).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.