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International Stock Market Comovement And News

Author

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  • Markus Höchstötter
  • Stephan Meyer
  • Ryan Riordan
  • Andreas Storkenmaier

Abstract

type="main" xml:lang="en"> We explore how news comovement drives a portion of stock return comovement using the Thomson Reuters international business news database. We develop a measure of news comovement similar in design to a well-known measure of stock return comovement and find that news helps explain country-level stock market comovement. Our results are novel in that we find that more news comovement is related to higher stock market comovement. The explanatory power of news comovement is found to be particularly strong in countries that have low total market capitalization, are more corrupt, and have lower accounting standards.

Suggested Citation

  • Markus Höchstötter & Stephan Meyer & Ryan Riordan & Andreas Storkenmaier, 2014. "International Stock Market Comovement And News," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 37(4), pages 519-542, December.
    • Handle: RePEc:bla:jfnres:v:37:y:2014:i:4:p:519-542
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    Citations

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    Cited by:

    1. Shahzad, Syed Jawad Hussain & Hernandez, Jose Areola & Rehman, Mobeen Ur & Al-Yahyaee, Khamis Hamed & Zakaria, Muhammad, 2018. "A global network topology of stock markets: Transmitters and receivers of spillover effects," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 492(C), pages 2136-2153.
    2. Chuluun, Tuugi, 2017. "Global portfolio investment network and stock market comovement," Global Finance Journal, Elsevier, vol. 33(C), pages 51-68.
    3. Kei-Ichiro Inaba, 2018. "Global Stock Return Comovements: Trends and Determinants," Bank of Japan Working Paper Series 18-E-7, Bank of Japan.
    4. Inaba, Kei-Ichiro, 2020. "Information-driven stock return comovements across countries," Research in International Business and Finance, Elsevier, vol. 51(C).
    5. Chung Baek, 2020. "Risk Transmissions between Major Foreign Currencies: An Empirical Analysis from the U.S. Perspective," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 19(2), pages 151-168, September.

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