International Market Model Research Articles

Análise do mercado internacional de compensado

Este estudo visou construir um modelo de comércio internacional de compensado para simular mudanças nos fluxos e preços deste produto, ocasionadas por alterações nos deslocadores da demanda dos principais países importadores e nos deslocadores da oferta dos principais exportadores. O modelo considera que as importações sejam diferenciadas pelo local de produção, significando que os produtos não são substitutos perfeitos. Os resultados indicaram que os aumentos da demanda de compensado no Japão, Estados Unidos e Alemanha tendem a elevar os preços dos países exportadores que têm participação maior naqueles mercados. Os países menos expressivos nos mercados em questão aumentam pouco ou até reduzem seus preços e, com isso, beneficiam-se de incrementos maiores nos fluxos comerciais do que os países com participação maior. O crescimento da demanda de compensado do Japão afeta pouco os preços, os fluxos comerciais e a receita de exportação de compensado do Brasil. Já no caso do aumento das demandas da Alemanha e dos Estados Unidos há elevação dos preços e da receita de exportação brasileira, mas a quantidade total de compensado comercializado pelo país diminui. Um aumento exógeno na oferta de compensado de determinado país reduz seu preço, permitindo que haja uma ampliação de sua participação em todos os mercados. No caso do Brasil, o crescimento da oferta de compensado elevou a sua participação em todos os mercados, mas a receita total de exportação diminuiu, em decorrência da queda no preço do produto.

Emergence and stability of key currency in artificial international trade

In this research, we tackled the emergence and stability of key currency when economic strength countries was equal. We propose an artificial international market model with currency credibility as the standard selected for payment. We constructed multiple markets based on the X-Economy System. Through simulations, we found the possibility that key currency could emerge in a symmetric situation, and market and the specialization of production could be stabilized by foreign exchange trade.

Australian industry beta risk, the choice of market index and business cycles

The paper presents an investigation of the equity beta risk of 23 Australian industry portfolios over the period 1974 to 1992. A comparison of domestic and international market model betas, favours the domestic risk measures, although the international counterparts are generally statistically significant relative to a world market index. Furthermore, the international betas seem to display greater instability than the domestic beta estimates. Tests are made to determine whether business cycles, both domestic and international, impact upon stock returns, via changes in the estimated domestic beta. Generally, it is found that business cycles are important and that the US business cycle has a much larger impact on the equity betas of industry portfolios, than does the Australian business cycle. Finally, it is found that interactions between the business cycles of Australia and the United States, have an impact on the beta risk for many industries.

An international market model and exchange rate risk: Australian evidence

The purpose of this paper is to investigate the sensitivity of Australian stock returns to US market returns, via an international market model. Our study investigates the relative sensitivity to (1) the US return denominated in Australian dollars and (2) the US market return decomposed into its two component factors (the US market return expressed in US dollars and the AUDUSD exchange rate return). Our results suggest that Australian industries are differentially sensitive to changes in the US market and to exchange rate movements.

STOCK MARKET RECOGNITION OF MULTINATIONALITY OF A FIRM AND INTERNATIONAL EVENTS

This paper presents the results of empirical tests on a necessary condition for the diversification service hypothesis: market recognition of the multinationality of a firm and the existence of international factors. Employing both a two‐ factor international market model and residual analyses, this study examines whether the US stock market considers the multinationality of a firm and inter‐ national events which are expected to affect the price of MNCs' stock. The residual analysis is conducted over a period which includes both fixed and floating exchange rates. Results from both analyses support the hypothesis that the US stock market does recognize the multinationality of a firm.

STOCK MARKET RECOGNITION OF MULTINATIONALITY OF A FIRM AND INTERNATIONAL EVENTS

This paper presents the results of empirical tests on a necessary condition for the diversification service hypothesis: market recognition of the multinationality of a firm and the existence of international factors. Employing both a two- factor international market model and residual analyses, this study examines whether the US stock market considers the multinationality of a firm and inter- national events which are expected to affect the price of MNCs' stock. The residual analysis is conducted over a period which includes both fixed and floating exchange rates. Results from both analyses support the hypothesis that the US stock market does recognize the multinationality of a firm.

Investor Recognition of Corporation International Diversification: Comment

should be cautious about following A-L's lead. Jacquillat and Solnik [7] raised the question that interests practitioners: do multinationals (MNCs) provide investors with diversification? Their answer was negative. A-L's contrasting and quite modest claim was that investors recognize the composition of the real activities of U. S. MNCs. They based this conclusion on a two-stage analysis of regressions of stock-price returns, using a two-index international market model (IMM):

An International Market Model of Security Price Behavior

The Markowitz-Sharpe market model has been extensively applied to the study of price behavior of American common stocks. In this paper an international market model will be used assuming that the return on any security is a linear function of the return on the world market portfolio. A justification for this approach lies in the International Asset Pricing Model (IAPM) proposed by Solnik [14] and [15]. This market model is by no means the only stochastic process of security returns consistent with the IAPM, but it is the most simple and straightforward extension of the traditional approach to domestic markets.