Cross country stock market comovement: a macro perspective

Anagnostopoulos, Alexios and Ateşağaoğlu, Orhan Erem and Faraglia, Elisa and Giannitsarou, Chryssi (2022) Cross country stock market comovement: a macro perspective. Journal of Monetary Economics, 130 . pp. 34-48. ISSN 0304-3932 (Print) 1873-1295 (Online)

This is the latest version of this item.

Full text not available from this repository. (Request a copy)


Since the 1990s, there has been a simultaneous rise in cross-country stock market correlations 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 correlated 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 diversification, we find that these two factors do not generate an increase in stock market correlations.
Item Type: Article
Uncontrolled Keywords: Asset pricing; Foreign direct investment; International trade; Multinational firms; Portfolio diversification; Stock market comovement
Divisions: Sabancı Business School
Depositing User: Orhan Erem Ateşağaoğlu
Date Deposited: 06 Sep 2023 15:37
Last Modified: 06 Sep 2023 15:37

Available Versions of this Item

Actions (login required)

View Item
View Item