Skip to main content

Research Repository

Advanced Search

Global engagement and returns volatility

Girma, Sourafel; Lancheros, Sandra; Riaño, Alejandro


Professor of Industrial Economics

Sandra Lancheros

Alejandro Riaño


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.

Journal Article Type Article
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
APA6 Citation Girma, S., Lancheros, S., & Riaño, A. (in press). Global engagement and returns volatility. Oxford Bulletin of Economics and Statistics, 78(6),
Keywords Volatility, Stock Returns, Exports, FDI, External Finance Dependence, Japan.
Publisher URL;jsessionid=8304FFAB83E6DDC91FEB642A06405D47.f01t01
Copyright Statement Copyright information regarding this work can be found at the following address: http://eprints.nottingh.../end_user_agreement.pdf
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 http://onlinelibrary.wi...doi/10.1111/obes.12150. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving.


GLR version to submit 150616.pdf (594 Kb)

Copyright Statement
Copyright information regarding this work can be found at the following address:

You might also like

Downloadable Citations