On international stock market co-movements and macroeconomic risks

By:

CHEN, Peng

Contributor(s):

WU, Shu

Material type: Text

TextSeries: Applied Economics Letters ; Volume , number ,New York Taylor & Francis 2013Content type:

text

Media type:

unmediated

Carrier type:

volume

Subject(s):

Online resources:

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Summary: We use Bayesian dynamic factor models to disentangle the global and idiosyncratic country-specific factors of the stock market prices and other macroeconomic variables from a large group of countries. We find that the global factors account for significant portions of an individual country's stock market volatility and its macroeconomic fluctuations. The global macroeconomic shocks have strong effects on the stock price movement across countries in addition to domestic macroeconomic shocks. And a country's exposure to the global stock market risk to a large extent reflects that country's exposure to the global macroeconomic risks.

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Holdings
Item type	Current library	Call number	Vol info	Status	Notes	Date due	Barcode
Journal Article	Main Library - Special Collections	HB1.A666 APP (Browse shelf(Opens below))	Vol.20 , No.10 - 12 (Aug 2013)	Not for loan	For In House Use Only

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We use Bayesian dynamic factor models to disentangle the global and idiosyncratic country-specific factors of the stock market prices and other macroeconomic variables from a large group of countries. We find that the global factors account for significant portions of an individual country's stock market volatility and its macroeconomic fluctuations. The global macroeconomic shocks have strong effects on the stock price movement across countries in addition to domestic macroeconomic shocks. And a country's exposure to the global stock market risk to a large extent reflects that country's exposure to the global macroeconomic risks.

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