Cross country stock market comovement: A macro perspective

• 成果类型: Article
• 署名作者: Anagnostopoulos, Alexios; Atesagaoglu, Orhan Erem; Faraglia, Elisa; Giannitsarou, Chryssi
• 署名单位: State University of New York (SUNY) System; Stony Brook University; Istanbul Bilgi University; Sabanci University; University of Cambridge; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2022.05.005
• 发表日期: 2022
• 页码: 34-48
• 关键词: Stock market comovement; Foreign direct investment; multinational firms; asset pricing; international trade; Portfolio diversification

摘要

Since the 1990s, there has been a simultaneous rise in cross-country stock market corre-lations and FDI positions. We establish an empirical relationship between these two, for pairs of developed economies that survives controlling for relevant factors. At firm level, we find that stock returns of multinationals that invest in technology capital are more cor-related with world stock markets. Using a calibrated two-country asset pricing model with multinationals, we find that the increase in FDI accounts for one third of the rise in the observed stock market correlations. When allowing for increases in trade and portfolio di-versification, we find that these two factors do not generate an increase in stock market correlations.(c) 2022 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY license ( http://creativecommons.org/licenses/by/4.0/ )