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Return comovement
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DOI：10.1016/j.jbankfin.2017.09.019.png)
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摘要
En 中文
We examine intra-market return comovement within each of 33 economies' stock exchanges from 1995 through 2013 using a model-free comovement gauge. We find that the stability of international macroeconomic trilemma policies, the number of crises, and the extent of turnover overshadow the empirical relevance of many variables previously thought to be important for intra-market comovement, including country risk, corruption, and investor protections. We also use a much longer historical sample of U.S. firms to examine compositional explanations of the well-known U.S. comovement decline and to decompose the comovement into trend and cycle. Our findings challenge the compositional explanations of the decline; additionally, they suggest that the most recent uptick reflects short-term conditions, rather than a trend reversal. (C) 2017 Elsevier B.V. All rights reserved.
Keyword:
RISK
INFORMATION
SYNCHRONICITY
VOLATILITY
MARKETS
STOCKS
R-2
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3.8
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6.4K
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2.4W
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The information content of stock markets: why do emerging markets have synchronous stock price movements?股票市场的信息含量: 为什么新兴市场具有同步的股价变动？
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