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Global Public Signals and Comovement of Stock Markets
Daniel Andrei Julien Cujean Sydney , December 2009
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5. Conclusions & Comments
1. Motivation 5 min 2. Literature 3. Our Model 5 min 4. Results 5 min 5. Conclusions & Comments Remaining time
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Our Questions: Within a rational setup, how does the volume of global public information impact comovement? How does irrationality magnify this effect? How much comovement is generated by: correlation between fundamentals global public information irrationality Can irrationality produce home equity bias?
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This Paper Related Literature
International Finance: Information and Comovement Dumas, Harvey and Ruiz (JIMF, 2003) Brooks and Del Negro (JEF, 2004) Karolyi and Stulz (JF, 1996) Chue (2000) Albuquerque and Vega (2008) Heterogeneous Beliefs Dumas, Kurshev and Uppal (JF, 2008) Dumas, Lewis and Osambela (2009) Grisse (2008) This Paper Comovement Veldkamp (RES, 2006) Barberis, Shleifer and Wurgler (JFE,2005) Grisse (2008) Home Bias and Information Brennan and Cao (JF, 1997) Dumas, Lewis and Osambela (2009) Veldkamp and Van Nieuwerburgh (JF, 2009)
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5. Conclusions & Comments
1. Motivation 5 min 2. Literature 3. Our Model 5 min 4. Results 5 min 5. Conclusions & Comments Remaining time
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A B Global Signal
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A B Benchmark Model Filter (Kalman-Bucy) =>
Global Signal Benchmark Model
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A B Global Signal
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Heterogeneous Beliefs
A B Global Signal Heterogeneous Beliefs
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5. Conclusions & Comments
1. Motivation 5 min 2. Literature 3. Our Model 5 min 4. Results 5 min 5. Conclusions & Comments Remaining time
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Comovement & Rationality
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Comovement & Rationality
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Comovement & Rationality
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Comovement & Rationality
First effect Second effect
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Comovement & Rationality
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Comovement & Irrationality
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Comovement & Irrationality
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Comovement & Irrationality
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Comovement & Irrationality
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Volatility & Irrationality
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Volatility & Irrationality
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Volatility & Irrationality
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Volatility & Irrationality
DKU (JF, 2008) Effect
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Home Bias & Irrationality
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Home Bias & Irrationality
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Home Bias & Irrationality
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