Globalization and stock market returns

Global Economy Journal

Volumn 6, Issue 1, 2006, Pages

  Lam, Swee Sum ^a   Ang, William Wee Lian ^b  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

^b PrimePartners Corporate Finance Pte Ltd   (Singapore)

Author keywords

Domestic risk factors; Global risk factors; Globalization; Macroeconomic risk factors

Indexed keywords

EID: 33645895559     PISSN: 15245861     EISSN: 15245861     Source Type: Journal    
DOI: 10.2202/1524-5861.1118     Document Type: Article

References (42)

1. Asprem, M. 1989. Stock prices, asset portfolios and macroeconomic variables in ten European countries. Journal of Banking & Finance. 13: 589-612.
2. Bekaert, G., C. Erb, C. Harvey and T. Viskanta. 1997. What matters in emerging markets investments? Emerging Markets Quarterly. 1: 1-30
3. Bekaert, G. and C. Harvey. 1995. Time-varying world market integration. Journal of Finance. 50: 403-444.
4. Bekaert, G. and C. Harvey. 1997. Emerging equity market volatility. Journal of Financial Economics. 43: 29-78.
5. Bessembinder, H. 1992. Systematic risk, hedging pressure, and risk premiums in futures markets. Review of Financial Studies. 5: 637-677.
6. Bilson, C.M., T.J. Brailsford, and V.J. Hooper. 2001. Selecting macroeconomic variables as explanatory factors of emerging stock market returns. Pacific-Basin Finance Journal. 9: 401-426.
7. Bodurtha, J.N., D.C. Cho, and L.W. Senbet. 1989. Economic forces and the stock market: An international perspective. Global Finance Journal. 1: 21-46.
8. Bomhoff, E.J. 1994. Financial Forecasting for Business & Economics. The Dryden Press.
9. Brennan, M.J. and Y. Xia. 2005. tay's as good as cay. Finance Research Letters. 2(1): 1-14.
10. Chan, K.C., B.E. Gup and M.S. Pan. 1992. An empirical analysis of stock prices in major Asian markets and in the United States. The Financial Review. 27(2): 289-307.
11. Chang, E., C.S. Eun and R. Kolodny. 1995. International diversification through closed-end country funds. Journal of Banking & Finance. 19: 1237-1263.
12. Chen, N.F., R. Roll and S.A. Ross. 1986. Economic forces and the stock market. Journal of Business. 59(3): 383-403.
13. Chen, N.F. 1991. Financial investment opportunities and the macroeconomy. Journal of Finance. 46(2): 529-554.
14. Claessens, S., S. Dasgupta and J. Glen. 1998. The cross-section of stock returns: Evidence from emerging markets. Emerging Markets Quarterly. 2: 4-13.
15. Fama, E.F. 1991. Efficient capital markets: II. Journal of Finance. 46: 1575-1617.
16. Fama, E.F. and K.R. French. 1989. Business conditions and expected returns on stocks and bonds. Journal of Financial Economics. 25: 23-49.
17. Fama, E.F. and K.R. French. 1992. The cross-section of expected stock returns. Journal of Finance. 47: 427-465.
18. Fama, E.F. and K.R. French. 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics. 33: 3-56.
19. Fama, E.F. and K.R. French. 1998. Value versus growth: The international evidence. Journal of Finance. 53: 1975-2000.
20. Fifield, S.G.M, D.M. Power, and C.D. Sinclair. 2002. Macroeconomic factors and share returns: An analysis using emerging market data. International Journal of Finance and Economics. 7: 51-62.
21. Goyal, A. and P. Santa-Clara. 2003. Idiosyncratic risk matters. Journal of Finance. 58(3): 975-1007.
22. Harvey, C.R. 1995a. Predictable risks and returns in emerging markets. Review of Financial Studies. 8: 773-816.
23. Harvey, C.R. 1995b. The risk exposure of emerging equity markets. The World Bank Economic Review. 9: 19-50.
24. Heaton, J. and D. Lucas. 1997. Market frictions, savings behaviour, and portfolio choice. Journal of Macroeconomic Dynamics. 1: 76-101.
25. Heaton, J. and D. Lucas. 2000. Portfolio choice and asset prices: The importance of entrepreneurial risk. Journal of Finance. 55: 1163-1198.
26. Heston, S.L. and K.G. Rouwenhorst. 1994. Does industrial structure explain the benefits of international diversification? Journal of Financial Economics. 36: 1-27.
27. Hirschleifer, D. 1988. Residual risk, trading costs, and commodity futures risk premia. Review of Financial Studies. 1: 173-193.
28. Kaiser, H F. 1958. The Varimax criterion for analytic rotation in factor analysis. Psychometrika. 23: 187-200.
29. Kaiser, H.F. 1960. The application of electronic computers to factor analysis. Educational and Psychological Measurement. 20:141-151.
30. Koop, G. 2000. Analysis of Economic Data. John Wiley & Sons Ltd.
31. Lee, U. 1997. Stock market and macroeconomic policies: New evidence from Pacific Basin countries. Multinational Finance Journal. 1(4): 273-289.
32. Lettau, M. and S. Ludvigson. 2001a. Consumption, aggregate wealth, and expected stock returns. Journal of Finance. 56(3): 815-849.
33. Lettau, M. and S. Ludvigson. 2001b. Resurrecting the (C)CAPM: A cross-sectional test when risk premia are time varying. Journal of Political Economy. 109(6): 1238-1287.
34. Lettau, M. and S. Ludvigson. 2005. tay's as good as cay: Reply, Finance Research Letters. 2(1): 15-22.
35. Liew, J. and M. Vassalou. 2000. Can book-to-market, size and momentum be risk factors that predict economic growth? Journal of Financial Economics. 57: 221-245.
36. Markowitz, H. 1959. Portfolio selection: Efficient diversification of investments. New York, NY: Wiley.
37. Patel, S.A. 1998. Cross-sectional variation in emerging markets equity returns January 1988-March 1997. Emerging Markets Quarterly. 2: 57-70.
38. Roll, R. 1992. Industrial structure and the comparative behavior of international stock market indices. Journal of Finance. 47: 3-41.
39. Roll, R. 1977. A critique of asset pricing theory's test: Part 1. Journal of Financial Economics. 4: 129-176.
40. Rouwenhorst, K.G. 1999. Local return factors and turnover in emerging stock markets. Journal of Finance. 54(4): 1439-1464.
41. Sadique, S. and P. Silvapulle. 2001. Long-term memory in stock market returns: International evidence, International Journal of Finance and Economics. 6: 59-67.
42. Wasserfallen, W. 1989. Macroeconomic news and the stock market: Evidence from Europe. Journal of Banking and Finance. 13: 613-626.