Global Stock Markets and Investment Opportunities in the United States
University of Maryland Eastern Shore - School of Business and Technology
January 12, 2014
This study is set up to investigate how returns on three groups (developed, emerging and frontier) of global stock markets respond to shock to investment opportunities in the United States using aggregate Tobin’s q as a proxy. The Granger-causality is computed to determine the causal linkage between the investment opportunities in the United States and returns on the global stock market. The generalized impulse response functions and variance decomposition are also estimated.
Keywords: Tobin’s q, investment opportunities and global stock markets
JEL Classification: G12, G14working papers series
Date posted: January 12, 2014
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