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Global engagement and returns volatility


Professor of Industrial Economics

Sandra Lancheros



This paper finds that a greater reliance on foreign market sales increases the volatility of firms’ stock returns using high-frequency data for publicly-listed Japanese manufacturing firms over the period 2000 to 2010. The two margins of global engagement we consider, namely, exports and sales via foreign affiliates (horizontal FDI), have both a positive and economically significant effect on firm-level volatility. We find, however, that increasing the intensity of sales through foreign affiliates has a stronger effect on volatility than a similar change in export intensity. We also uncover evidence consistent with the notion that firms’ need to use external finance to cover the substantial costs involved in reaching foreign consumers can be an important channel through which firms’ participation in international markets increases their exposure to economic uncertainty.


Girma, S., Lancheros, S., & Riaño, A. (in press). Global engagement and returns volatility. Oxford Bulletin of Economics and Statistics, 78(6),

Journal Article Type Article
Acceptance Date Jun 14, 2016
Online Publication Date Jul 6, 2016
Deposit Date Jun 16, 2016
Publicly Available Date Jul 6, 2016
Journal Oxford Bulletin of Economics and Statistics
Print ISSN 0305-9049
Electronic ISSN 1468-0084
Publisher Wiley
Peer Reviewed Peer Reviewed
Volume 78
Issue 6
Keywords Volatility, Stock Returns, Exports, FDI, External Finance Dependence, Japan.
Public URL
Publisher URL;jsessionid=8304FFAB83E6DDC91FEB642A06405D47.f01t01
Additional Information This is the peer reviewed version of the following article: Girma, S., Lancheros, S. and Riaño, A. (2016), Global Engagement and Returns Volatility. Oxford Bulletin of Economics and Statistics, which has been published in final form at This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving.


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