Foreign dependence of individual stock prices: The role of aggregate product market developments
In this paper, we analyze the role of aggregate variables in the transmission from international stock price developments to individual domestic stock prices in a small open stock market. In particular, a theoretical and econometric model is used to determine whether international aggregate product market developments explain observed differences in foreign dependence among individual Belgian stocks. The results suggest that, except for the stocks of some internationally oriented companies, expected international production is not the most important explanatory variable and that an estimation model of aggregate fundamentals explains only part of individual stock price adjustments. Copyright Kluwer Academic Publishers 1991
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Campbell, John Y & Hamao, Yasushi, 1992.
" Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration,"
Journal of Finance,
American Finance Association, vol. 47(1), pages 43-69, March.
- Hamao, Yasushi & Campbell, John, 1992. "Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration," Scholarly Articles 3207694, Harvard University Department of Economics.
- John Y. Campbell & Yasushi Hamao, 1989. "Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration," NBER Working Papers 3191, National Bureau of Economic Research, Inc.
- Hendry, David F, 1986. "Econometric Modelling with Cointegrated Variables: An Overview," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 201-12, August.
- Campbell, John, 1986.
"Bond and Stock Returns in a Simple Exchange Model,"
3122544, Harvard University Department of Economics.
- Phillips, P.C.B., 1986.
"Understanding spurious regressions in econometrics,"
Journal of Econometrics,
Elsevier, vol. 33(3), pages 311-340, December.
- Peter C.B. Phillips, 1985. "Understanding Spurious Regressions in Econometrics," Cowles Foundation Discussion Papers 757, Cowles Foundation for Research in Economics, Yale University.
- Robert B. Barsky & J. Bradford De Long, 1989.
"Bull and Bear Markets in the Twentieth Century,"
NBER Working Papers
3171, National Bureau of Economic Research, Inc.
- L. Wade, 1988. "Review," Public Choice, Springer, vol. 58(1), pages 99-100, July.
- Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
- Pagan, Adrian, 1984. "Econometric Issues in the Analysis of Regressions with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 221-47, February.
- Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November.
- Robert B. Barsky, 1986.
"Why Don't the Prices of Stocks and Bonds Move Together?,"
NBER Working Papers
2047, National Bureau of Economic Research, Inc.
- Barsky, Robert B, 1989. "Why Don't the Prices of Stocks and Bonds Move Together?," American Economic Review, American Economic Association, vol. 79(5), pages 1132-45, December.
- Sanford J. Grossman & Robert J. Shiller, 1980.
"The Determinants of the Variability of Stock Market Prices,"
NBER Working Papers
0564, National Bureau of Economic Research, Inc.
- Grossman, Sanford J & Shiller, Robert J, 1981. "The Determinants of the Variability of Stock Market Prices," American Economic Review, American Economic Association, vol. 71(2), pages 222-27, May.
- S. Grossman & R. Shiller, . "The Determinants of the Variability of Stock Market Price," Rodney L. White Center for Financial Research Working Papers 18-80, Wharton School Rodney L. White Center for Financial Research.
- Thursby, Jerry G, 1981. "A Test Strategy for Discriminating between Autocorrelation and Misspecification in Regression Analysis," The Review of Economics and Statistics, MIT Press, vol. 63(1), pages 117-23, February.
- Gerald P. Dwyer, Jr. & R.W. Hafer, 1988. "Are national stock markets linked?," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 3-14.
- Fama, Eugene F. & Schwert, G. William, 1977. "Asset returns and inflation," Journal of Financial Economics, Elsevier, vol. 5(2), pages 115-146, November.
- Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
- Boyle, Glenn W & Young, Leslie, 1988. "Asset Prices, Commodity Prices, and Money: A General Equilibrium, Rational Expectations Model," American Economic Review, American Economic Association, vol. 78(1), pages 24-45, March.
When requesting a correction, please mention this item's handle: RePEc:kap:openec:v:2:y:1991:i:1:p:1-26. 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: (Guenther Eichhorn)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.