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International Financial Connection and Stock Return Comovement

International Financial Connection and Stock Return Comovement »

Source: International Financial Connection and Stock Return Comovement

Volume/Issue: 2019/181

Series: IMF Working Papers

Author(s): Sakai Ando

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 August 2019

ISBN: 9781513509822

Keywords: Financial statistics, Economic integration, Investment analysis, Balance of payments, Business cycles, stock return comovement, international investment position, risk-on, risk-off, WP

This paper studies whether bilateral international financial connection data help predict bilateral stock return comovement. It is shown that, when the United States is chosen as the benchmark, a larger U.S. portfo...

International Financial Connection and Stock Return Comovement

International Financial Connection and Stock Return Comovement »

Volume/Issue: 2019/181

Series: IMF Working Papers

Author(s): Sakai Ando

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 August 2019

DOI: http://dx.doi.org/10.5089/9781513509822.001

ISBN: 9781513509822

Keywords: Financial statistics, Economic integration, Investment analysis, Balance of payments, Business cycles, stock return comovement, international investment position, risk-on, risk-off, WP

This paper studies whether bilateral international financial connection data help predict bilateral stock return comovement. It is shown that, when the United States is chosen as the benchmark, a larger U.S. portfo...