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International Financial Connection and Stock Return Comovement
by Sakai Ando

Series:Working Paper No. 19/181
ISBN 9781513509822
Code: #WPIEA2019181

Publication year: 2019

Cdn: $27.00; US: $25.00
Paperback
Language: English
33 pages
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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. portfolio investment asset position on the destination economy predicts a stronger stock return comovement between them. For large economies such as the United States and Germany, the portfolio investment position is also the best predictor among other connection variables. The paper discusses with a simple general equilibrium portfolio model that the empirical pattern is consistent with the behavior of index investors who trade in response to risk-on/risk-off shocks.
International Financial Connection and Stock Return Comovement
Cdn: $27.00; US: $25.00
International Monetary Fund (IMF) BookID: 125780 Added: 2019.9.8