Series: IMF Working Papers
Author(s): Sakai Ando
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 22 August 2019
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...