This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
International Stock Return Comovements Author info | Abstract | Publisher info | Download info | Related research | Statistics Geert Bekaert
Robert J. Hodrick
Xiaoyan Zhang
Additional information is available for the following
registered author(s):
We examine international stock return comovements using country-industry and country-style portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston-Rouwenhorst (1994) model. We then establish the following stylized facts regarding stock return comovements. First, we do not find evidence for an upward trend in return correlations, excpet for the European stock markets. Second, the increasing imporatnce of industry factors relative to country factors was a short-lived, temporary phenomenon. Third, we find no evidence for a trend in idiosyncratic risk in any of the countries we examine.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number
11906.
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Length:
Date of creation: Dec 2005Date of revision:
Handle: RePEc:nbr:nberwo:11906Note: AP IFMContact details of provider: Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A. Phone: 617-868-3900 Email: Web page: http://www.nber.org More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: ().
Keywords: Other versions of this item:
Paper Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2005.
"International Stock Return Comovements ,"
Working Papers
06-3, University of Pennsylvania, Wharton School, Weiss Center.
[Downloadable!] Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2008.
"International stock return comovements ,"
Working Paper Series
931, European Central Bank.
[Downloadable!] Bekaert, Geert & Hodrick, Robert J & Zhang, Xiaoyan, 2006.
"International Stock Return Comovements ,"
CEPR Discussion Papers
5955, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Find related papers by JEL classification: G12 - Financial Economics - - General Financial Markets - - - Asset Pricing G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
This paper has been announced in the following NEP Reports :
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Pindyck, Robert S & Rotemberg, Julio J, 1990.
"The Excess Co-movement of Commodity Prices ,"
Economic Journal ,
Royal Economic Society, vol. 100(403), pages 1173-89, December.
[Downloadable!] (restricted)
Other versions:
Robert S. Pindyck & Julio J. Rotemberg, 1988.
"The Excess Co-Movement of Commodity Prices ,"
NBER Working Papers
2671, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Pindyck, Robert S. & Rotemberg, Julio., 1987.
"The excess co-movement of commodity prices ,"
Working papers
1969-87., Massachusetts Institute of Technology (MIT), Sloan School of Management.
[Downloadable!] Robin Brooks & Marco Del Negro, 2002.
"International diversification strategies ,"
Working Paper
2002-23, Federal Reserve Bank of Atlanta.
[Downloadable!]
Chamberlain, Gary, 1983.
"Funds, Factors, and Diversification in Arbitrage Pricing Models ,"
Econometrica ,
Econometric Society, vol. 51(5), pages 1305-23, September.
[Downloadable!] (restricted)
Mardi Dungey & Renee Fry & Vance Martin & Brenda González-Hermosillo, 2004.
"Empirical Modeling of Contagion: A Review of Methodologies ,"
IMF Working Papers
04/78, International Monetary Fund.
[Downloadable!]
Other versions: Allan Timmerman & Luis Catão, 2003.
"Country and Industry Dynamics in Stock Returns ,"
IMF Working Papers
03/52, International Monetary Fund.
[Downloadable!]
Other versions: Bekaert, Geert & Harvey, Campbell R, 1995.
" Time-Varying World Market Integration ,"
Journal of Finance ,
American Finance Association, vol. 50(2), pages 403-44, June.
[Downloadable!] (restricted)
Other versions: Jones, Christopher S., 2001.
"Extracting factors from heteroskedastic asset returns ,"
Journal of Financial Economics ,
Elsevier, vol. 62(2), pages 293-325, November.
[Downloadable!] (restricted)
Eugene F. Fama & Kenneth R. French, 1998.
"Value versus Growth: The International Evidence ,"
Journal of Finance ,
American Finance Association, vol. 53(6), pages 1975-1999, December.
[Downloadable!] (restricted)
Other versions:
Eugene F. Fama & Kenneth R. French, .
"Value Versus Growth: The International Evidence ,"
CRSP working papers
449, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
Eugene F. Fama & Kenneth R. French, .
"Value versus Growth: The International Evidence ,"
CRSP working papers
341, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
Kristin J. Forbes & Roberto Rigobon, 2002.
"No Contagion, Only Interdependence: Measuring Stock Market Comovements ,"
Journal of Finance ,
American Finance Association, vol. 57(5), pages 2223-2261, October.
[Downloadable!] (restricted)
Other versions: John Y. Campbell, 2001.
"Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk ,"
Journal of Finance ,
American Finance Association, vol. 56(1), pages 1-43, 02.
[Downloadable!] (restricted)
Other versions: John Y. Campbell & Christopher Polk & Tuomo Vuolteenaho, 2005.
"Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns ,"
NBER Working Papers
11389, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Robin Brooks & Marco Del Negro, 2002.
"The rise in comovement across national stock markets: market integration or IT bubble? ,"
Working Paper
2002-17a, Federal Reserve Bank of Atlanta.
[Downloadable!]
Other versions: Kallberg, Jarl & Pasquariello, Paolo, 2008.
"Time-series and cross-sectional excess comovement in stock indexes ,"
Journal of Empirical Finance ,
Elsevier, vol. 15(3), pages 481-502, June.
[Downloadable!] (restricted)
Griffin, John M. & Andrew Karolyi, G., 1998.
"Another look at the role of the industrial structure of markets for international diversification strategies1 ,"
Journal of Financial Economics ,
Elsevier, vol. 50(3), pages 351-373, December.
[Downloadable!] (restricted)
Other versions: Geert Bekaert & Campbell R. Harvey & Angela Ng, 2005.
"Market Integration and Contagion ,"
Journal of Business ,
University of Chicago Press, vol. 78(1), pages 39-70, January.
[Downloadable!]
Other versions: Carrieri, Francesca & Errunza, Vihang & Sarkissian, Sergei, 2006.
"The Dynamics of Geographic versus Sectoral Diversification: Is There a Link to the Real Economy? ,"
Working Papers
06-4, University of Pennsylvania, Wharton School, Weiss Center.
[Downloadable!]
L. Baele, 2003.
"Volatility Spillover Effects in European Equity Markets ,"
Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium
03/189, Ghent University, Faculty of Economics and Business Administration.
[Downloadable!]
Other versions:
Baele, L., 2003.
"Volatility spillover effects in European equity markets ,"
Discussion Paper
114, Tilburg University, Center for Economic Research.
[Downloadable!] Baele, Lieven, 2005.
"Volatility Spillover Effects in European Equity Markets ,"
Journal of Financial and Quantitative Analysis ,
Cambridge University Press, vol. 40(02), pages 373-401, June.
[Downloadable!] Griffin, John M & Stulz, Rene M, 2001.
"International Competition and Exchange Rate Shocks: A Cross-Country Industry Analysis of Stock Returns ,"
Review of Financial Studies ,
Oxford University Press for Society for Financial Studies, vol. 14(1), pages 215-41.
Other versions: K. Jöreskog, 1967.
"Some contributions to maximum likelihood factor analysis ,"
Psychometrika ,
Springer, vol. 32(4), pages 443-482, December.
[Downloadable!] (restricted)
Heston, Steven L. & Rouwenhorst, K. Geert, 1994.
"Does industrial structure explain the benefits of international diversification? ,"
Journal of Financial Economics ,
Elsevier, vol. 36(1), pages 3-27, August.
[Downloadable!] (restricted)
Karolyi, G Andrew, 2003.
"Does International Financial Contagion Really Exist? ,"
International Finance ,
Blackwell Publishing, vol. 6(2), pages 179-99, Summer.
[Downloadable!] (restricted)
Fratzscher, Marcel, 2002.
"Financial Market Integration in Europe: On the Effects of EMU on Stock Markets ,"
International Journal of Finance & Economics ,
John Wiley & Sons, Ltd., vol. 7(3), pages 165-93, July.
[Downloadable!] (restricted)
Other versions: Fama, Eugene F & French, Kenneth R, 1996.
" Multifactor Explanations of Asset Pricing Anomalies ,"
Journal of Finance ,
American Finance Association, vol. 51(1), pages 55-84, March.
[Downloadable!] (restricted)
Geert Bekaert & Campbell R. Harvey, 2000.
"Foreign Speculators and Emerging Equity Markets ,"
Journal of Finance ,
American Finance Association, vol. 55(2), pages 565-613, 04.
[Downloadable!] (restricted)
Other versions: Longin, Francois & Solnik, Bruno, 1995.
"Is the correlation in international equity returns constant: 1960-1990? ,"
Journal of International Money and Finance ,
Elsevier, vol. 14(1), pages 3-26, February.
[Downloadable!] (restricted)
Kang, Jun-Koo & Stulz, Rene M., 1997.
"Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan ,"
Journal of Financial Economics ,
Elsevier, vol. 46(1), pages 3-28, October.
[Downloadable!] (restricted)
Other versions:
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Quinn, Dennis & Voth, Hans-Joachim, 2008.
"Free Flows, Limited Diversification: Explaining the Fall and Rise of Stock Market Correlations, 1890-2001 ,"
CEPR Discussion Papers
7013, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Dennis Quinn & Joachim Voth, 2006.
"A Century of Global Equity Market Correlations ,"
Economics Working Papers
1119, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2008.
[Downloadable!]
Other versions: Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2008.
"High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence ,"
NBER Working Papers
13739, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Ang, Andrew & Hodrick, Robert J. & Xing, Yuhang & Zhang, Xiaoyan, 2009.
"High idiosyncratic volatility and low returns: International and further U.S. evidence ,"
Journal of Financial Economics ,
Elsevier, vol. 91(1), pages 1-23, January.
[Downloadable!] (restricted) Claudio Morana, 2008.
"International stock markets comovements: the role of economic and financial integration ,"
Empirical Economics ,
Springer, vol. 35(2), pages 333-359, September.
[Downloadable!] (restricted)
Lewis, Karen K., 2006.
"Is the International Diversification Potential Diminishing? Foreign Equity Inside and Outside the US ,"
Working Papers
06-6, University of Pennsylvania, Wharton School, Weiss Center.
[Downloadable!]
Roberto A. De Santis & Lucio Sarno, 2008.
"Assessing the benefits of international portfolio diversification in bonds and stocks ,"
Working Paper Series
883, European Central Bank.
[Downloadable!]
Access and
download statistics Did you know? You too can volunteer for RePEc, for example by editing a NEP report.
This page was last updated on 2009-12-5.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .