We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model that decomposes stock returns into global, country-specific and industry-specific...

The authors present an exact methodology for decomposing cross-sectional volatility into contributions from various factors. Treating country, industry, and style factors equally, they used their framework to investigate several relevant issues in the global equity markets, including the...