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Conference paper (in proceedings)

The determinants of stock returns in a small open economy

  • Cauchie, Séverine University of Geneva - Graduate School of Business (HEC-Geneva)
  • Hoesli, Martin University of Geneva - Graduate School of Business (HEC-Geneva)
  • Isakov, Dušan University of Fribourg - Faculty of Economics and Social Science
    2003
Published in:
  • EFMA 2003 Helsinki Meeting. - 2003, p. 1-31
Statistical APT, Macroeconomic APT, Market integration, Risk factors
English 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.
Faculty
Faculté des sciences économiques et sociales et du management
Department
Département de gestion
Language
  • English
Classification
Economics
License
License undefined
Identifiers
  • RERO DOC 12560
Persistent URL
https://folia.unifr.ch/unifr/documents/301277
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