본문 내용으로 건더뛰기

KDI 경제정보센터

KDI 경제정보센터의 다양한
경제정책정보를 만나 보세요.

국제금융

International Financial Connection and Stock Return Comovement
IMF 2019.08.23 원문보기
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.
KDI 경제정보센터