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| Author: | Brooks, R. Negro, M. Del |
| Title: | Firm-level evidence on international stock market comovement |
| Journal: | Review of finance
2006 : VOL. 10:1, p. 69-98 |
| Index terms: | international economic relations stock markets |
| Language: | eng |
| Abstract: | This paper explores the link between international stock market comovement and the extent to which companies operate globally. Stock returns and balance sheet data for companies in 20 countries are used to estimate a factor model that decomposes stock returns into global, country- and industry-specific shocks. A large and statistically significant link for global shocks is found. |
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