en
Report
Open access
English

The Determinants of Stock Returns in a Small Open Economy (new version May 2003)

Collection
  • Cahiers de recherche; 2002.03
Publication date2002
Abstract

This paper examines the determinants of stock returns in a small open economy using an APT framework. The analysis is conducted for the Swiss stock market which has the particularity of including a large proportion of firms that are exposed to foreign economic conditions. Both a statistical and a macroeconomic implementation of the model are performed for the period 1986-2002 with monthly returns on industrial sector indices. The results show that the statistically determined factors yield a better representation of the determinants of stock returns than the macroeconomic variables and that stock returns are influenced by both global and local economic conditions. This suggests that the Swiss stock market is an internationally imperfectly integrated market.

eng
Keywords
  • Statistical APT
  • Macroeconomic APT
  • Market integration
  • Risk factors
Citation (ISO format)
CAUCHIE, Séverine Véronique, HOESLI, Martin E., ISAKOV, Dusan. The Determinants of Stock Returns in a Small Open Economy (new version May 2003). 2002
Main files (1)
Report
accessLevelPublic
Identifiers
  • PID : unige:5819
432views
670downloads

Technical informations

Creation04/15/2010 12:20:26 PM
First validation04/15/2010 12:20:26 PM
Update time03/11/2024 10:04:20 AM
Status update03/11/2024 10:04:20 AM
Last indexation03/11/2024 10:04:24 AM
All rights reserved by Archive ouverte UNIGE and the University of GenevaunigeBlack