Equity Prices and Financial Globalization

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Main author: Jinjarak, Yothin
Format: Journal Article           
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id eprints-16931
recordtype eprints
institution SOAS, University of London
collection SOAS Research Online
language English
language_search English
description 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, the association which a standard asset-pricing model is capable of explaining the patterns of international differences. We also 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.
format Journal Article
author Jinjarak, Yothin
author_facet Jinjarak, Yothin
authorStr Jinjarak, Yothin
author_letter Jinjarak, Yothin
title Equity Prices and Financial Globalization
publisher Elsevier
publishDate 2014
url https://eprints.soas.ac.uk/16931/

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