1. Global Public Signals and Comovement of Stock Markets
Daniel Andrei Julien Cujean
Sydney , December 2009

2. 5. Conclusions & Comments
1. Motivation
5 min
2. Literature
3. Our Model
5 min
4. Results
5 min
5. Conclusions & Comments
Remaining time

5. 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?

6. 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)

7. 5. Conclusions & Comments
1. Motivation
5 min
2. Literature
3. Our Model
5 min
4. Results
5 min
5. Conclusions & Comments
Remaining time

8. A B
Global Signal

9. A B Benchmark Model Filter (Kalman-Bucy) =>
Global Signal
Benchmark Model

10. A B
Global Signal

11. Heterogeneous BeliefsA B
Global Signal
Heterogeneous Beliefs

12. 5. Conclusions & Comments
1. Motivation
5 min
2. Literature
3. Our Model
5 min
4. Results
5 min
5. Conclusions & Comments
Remaining time

13. Comovement & Rationality

14. Comovement & Rationality

15. Comovement & Rationality

16. Comovement & Rationality
First effect
Second effect

17. Comovement & Rationality

18. Comovement & Irrationality

19. Comovement & Irrationality

20. Comovement & Irrationality

21. Comovement & Irrationality

23. Volatility & Irrationality

24. Volatility & Irrationality

25. Volatility & Irrationality

26. Volatility & Irrationality
DKU (JF, 2008) Effect

27. Home Bias & Irrationality

28. Home Bias & Irrationality

29. Home Bias & Irrationality