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The Comovement of International Asset Returns

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  • Joseph E Finnerty

    (University of Masschusetts—Armherst)

  • Thomas Schneeweis

    (University of Masschusetts—Armherst)

Abstract

Previous studies have analyzed the comovement of international stock returns during periods of fixed exchange rates[11,15]. Results of these studies have indicated an increasing correlation between U.S stocks and foreign stock returns. This paper explores the weekly comovement of international equity and long–term bond returns for nine industrialized countries—United Kingdom, United States, West Germany, Netherlands, Belgium, France, Switzerland, Italy, and Japan—during the period of floating exchange rates, 1973–1977. Results of this indicate (1) low correlations between U.S and foreign stock and long-term bond returns.(2) The necessity for adjusting for exchange rate movement before analyzing relative between countries; and (3) the importance of percentage changes in money supply, prices levels, and real gross national products are in determining the unadjusted asset returns and exchange rate movement.© 1979 JIBS. Journal of International Business Studies (1979) 10, 66–78

Suggested Citation

  • Joseph E Finnerty & Thomas Schneeweis, 1979. "The Comovement of International Asset Returns," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 10(3), pages 66-78, September.
    • Handle: RePEc:pal:jintbs:v:10:y:1979:i:3:p:66-78
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    Cited by:

    1. Zhou, Yang & Xie, Chi & Wang, Gang-Jin & Zhu, You & Uddin, Gazi Salah, 2023. "Analysing and forecasting co-movement between innovative and traditional financial assets based on complex network and machine learning," Research in International Business and Finance, Elsevier, vol. 64(C).
    2. Ocran, Mathew & Mlambo, Chipo, 2009. "Excess co-movement in asset prices: The case of South Africa," MPRA Paper 24277, University Library of Munich, Germany.
    3. Pat Wilson & John Okunev & Guy Ta, 1995. "Measuring the Degree of Integration Amongst Domestic and International Real Estate and Financial Assets Markets," Working Paper Series 49, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    4. Pat Wilson & John Okunev, 1996. "Unit Root Testing with Known and Unknown Structural Breaks in Property and Equity Markets," Working Paper Series 62, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

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