Series: IMF Working Papers
Author(s): Robin Brooks , and Marco Del Negro
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 March 2003
Keywords: Diversification, risk, stock market, global stock market, stock returns, capital account restrictions, capital markets,
We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model...