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Jinjarak, Yothin (2014) 'Equity Prices and Financial Globalization.' International Review of Financial Analysis, 33. pp. 49-57.

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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, 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.

Item Type: Journal Article
SOAS Departments & Centres: Legacy Departments > Faculty of Law and Social Sciences > School of Finance and Management
Legacy Departments > Faculty of Law and Social Sciences > School of Finance and Management > Centre for Financial and Management Studies (CeFiMS)
ISSN: 10575219
Date Deposited: 27 Aug 2013 15:16
URI: https://eprints.soas.ac.uk/id/eprint/16931

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