Abstract
The analysis documented in Chapter 5 shows that the returns on international stock and bond markets are considerably correlated. Moreover, the interdependence among the stock markets as well as among the bond markets has increased significantly over the last decade. Likewise, the correlations between international stock and bond returns have grown notably, testifying the tendency of increased comovement across asset classes. Thus, there is a strong indication that global factors are inclined to become more and more important in their influence on the evolution of asset prices worldwide. The purpose of the examination documented in this chapter is to explore whether some of the seven predetermined global risk factors can explain a portion of the comovement among international market returns.
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© 1997 Springer Fachmedien Wiesbaden
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Oertmann, P. (1997). Global factors affecting the returns on international markets. In: Global Risk Premia on International Investments. Deutscher Universitätsverlag, Wiesbaden. https://doi.org/10.1007/978-3-663-08528-7_6
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DOI: https://doi.org/10.1007/978-3-663-08528-7_6
Publisher Name: Deutscher Universitätsverlag, Wiesbaden
Print ISBN: 978-3-8244-6497-5
Online ISBN: 978-3-663-08528-7
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