The influence of United States macroeconomic factors on the international stock market.

摘要

The focus of this dissertation is on the influence of U.S. systematic risk forces, which include U.S. Federal Fund Rate, dollar strength, exchange rate and the KR-CRB index on the international equity markets of the United States, Germany, Japan, Mexico, Malaysia, Hong Kong and Singapore.; The International Arbitrage Price Model (IAPM), one of the most widely used equilibrium models, carried out the study of riskiness of the international equity market. IAPM is the right approach to strategic portfolio planning for the allocation of assets in equity markets.; The international evidence, from eleven major markets, seems to indicate that U.S. economic factors influence world stock markets in three different manners. Firstly, the U.S. interest rate is the key influence on the Southeast Asian Emerging Markets. Secondly, Japanese and European stock markets are sensitive to the U.S. exchange rate. Thirdly, the U.S. market is subject to the influence of its own interest and inflation rates. The thin market of Mexico has its own behavioral response to the U.S. economic systematic risk forces.