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Title: Globalization and stock market returns
Authors: Lam, S.S. 
Ang, W.W.-L.
Keywords: Domestic risk factors
Global risk factors
Macroeconomic risk factors
Issue Date: 2006
Citation: Lam, S.S.,Ang, W.W.-L. (2006). Globalization and stock market returns. Global Economy Journal 6 (1) : -. ScholarBank@NUS Repository.
Abstract: With increasing globalization, to what extent do stock market returns reflect global or domestic risk factors? We find a significant relationship between stock market returns and the global market risk factor and macroeconomic factors respectively. In particular, global factors offer four times more explanatory power than domestic factors for developed market stock returns. Yet domestic factors are as important as global ones in emerging economies. Our method allows for the proxies of the state variables to be endogenously determined. The relationship between macroeconomy and stock market returns is robust after accounting for the market factor, firm size and book-to-market characteristics. Copyright © 2006 The Berkeley Electronic Press. All rights reserved.
Source Title: Global Economy Journal
ISSN: 15245861
Appears in Collections:Staff Publications

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