Equity prices and financial globalization

Yothin Jinjarak

International Review of Financial Analysis, 2014, vol. 33, issue C, 49-57

Abstract: This paper examines the association between equity returns, economic shocks, and economic integration. The empirical findings show that oil prices and U.S. Federal Reserve funds rates are associated with negative responses of international equity returns, of which a simple asset-pricing model is capable of explaining the international differences. Using vector autoregressions, we find that the effects of global economic shocks operate through the current excess returns of equity prices. Empirically, trade integration increases the responses of international equity returns to oil prices, while finance integration increases the responses of equity returns to Federal Reserve funds rates across countries.

Keywords: Asset prices; Economic integration; Monetary policy; Oil prices (search for similar items in EconPapers)
JEL-codes: E44 E52 F42 G15 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:33:y:2014:i:c:p:49-57

DOI: 10.1016/j.irfa.2013.08.009

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