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dc.contributor.authorAnagnostopoulos, A
dc.contributor.authorAtesagaoglu, OE
dc.contributor.authorFaraglia, E
dc.contributor.authorGiannitsarou, C
dc.date.accessioned2022-05-12T23:31:11Z
dc.date.available2022-05-12T23:31:11Z
dc.date.issued2022
dc.identifier.issn0304-3932
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/337117
dc.description.abstractSince 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.
dc.description.sponsorshipBritish Academy
dc.publisherElsevier BV
dc.rightsAttribution 4.0 International
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.titleCross country stock market comovement: A macro perspective
dc.typeArticle
dc.publisher.departmentFaculty of Economics
dc.date.updated2022-05-12T11:52:57Z
prism.publicationNameJournal of Monetary Economics
dc.identifier.doi10.17863/CAM.84536
dcterms.dateAccepted2022-05-09
rioxxterms.versionofrecord10.1016/j.jmoneco.2022.05.005
rioxxterms.versionVoR
dc.contributor.orcidFaraglia, E [0000-0003-1755-0618]
dc.contributor.orcidGiannitsarou, C [0000-0002-1488-2433]
dc.identifier.eissn1873-1295
rioxxterms.typeJournal Article/Review
cam.orpheus.successWed Jun 08 08:57:20 BST 2022 - Embargo updated
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cam.depositDate2022-05-12
pubs.licence-identifierapollo-deposit-licence-2-1
pubs.licence-display-nameApollo Repository Deposit Licence Agreement


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Attribution 4.0 International
Except where otherwise noted, this item's licence is described as Attribution 4.0 International