Comovement

Citations

Cited by:

1. Qian, Xiaolin & Tam, Lewis H.K. & Zhang, Bohui, 2014. "Systematic liquidity and the funding liquidity hypothesis," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 304-320.
2. Grullon, Gustavo & Underwood, Shane & Weston, James P., 2014. "Comovement and investment banking networks," Journal of Financial Economics, Elsevier, vol. 113(1), pages 73-89.
3. Corwin, Shane A. & Lipson, Marc L., 2011. "Order characteristics and the sources of commonality in prices and liquidity," Journal of Financial Markets, Elsevier, vol. 14(1), pages 47-81, February.
4. Douch, Mohamed & Farooq, Omar & Bouaddi, Mohammed, 2015. "Stock price synchronicity and tails of return distribution," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 37(C), pages 1-11.
5. Greenwood, Robin & Thesmar, David, 2011. "Stock price fragility," Journal of Financial Economics, Elsevier, vol. 102(3), pages 471-490.
   • David Thesmar, 2009. "Stock Price Fragility," Post-Print hal-00496062, HAL.
   • Robin Greenwood & David Thesmar, 2011. "Stock price fragility," Post-Print hal-00635979, HAL.
   • David Thesmar, 2010. "Stock Price Fragility," Post-Print hal-00554105, HAL.
6. Brockman, Paul & Liebenberg, Ivonne & Schutte, Maria, 2010. "Comovement, information production, and the business cycle," Journal of Financial Economics, Elsevier, vol. 97(1), pages 107-129, July.
7. Barberis, Nicholas & Shleifer, Andrei & Wurgler, Jeffrey, 2005. "Comovement," Journal of Financial Economics, Elsevier, vol. 75(2), pages 283-317, February.
   • Nicholas Barberis & Andrei Shleifer & Jeffrey Wurgler, 2002. "Comovement," Harvard Institute of Economic Research Working Papers 1953, Harvard - Institute of Economic Research.
   • Nicholas Barberis & Andrei Shleifer & Jeffrey Wurgler, 2002. "Comovement," NBER Working Papers 8895, National Bureau of Economic Research, Inc.
   • Barberis, Nicholas & Shleifer, Andrei & Wurgler, Jeffrey, 2005. "Comovement," Scholarly Articles 27867240, Harvard University Department of Economics.
8. Brisker, Eric R. & Çolak, Gönül & Peterson, David R., 2013. "Changes in cash holdings around the S&P 500 additions," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1787-1807.
9. Chan, Kalok & Hameed, Allaudeen & Kang, Wenjin, 2013. "Stock price synchronicity and liquidity," Journal of Financial Markets, Elsevier, vol. 16(3), pages 414-438.
10. Wu, Yuliang & Mazouz, Khelifa, 2016. "Long-term industry reversals," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 236-250.
11. David, Joel M. & Simonovska, Ina, 2016. "Correlated beliefs, returns, and stock market volatility," Journal of International Economics, Elsevier, vol. 99(S1), pages 58-77.
    • Joel M. David & Ina Simonovska, 2016. "Correlated Beliefs, Returns, and Stock Market Volatility," NBER Chapters, in: NBER International Seminar on Macroeconomics 2015, National Bureau of Economic Research, Inc.
    • Joel M. David & Ina Simonovska, 2015. "Correlated Beliefs, Returns, and Stock Market Volatility," NBER Working Papers 21480, National Bureau of Economic Research, Inc.
    • Ina Simonovska & Joel David, 2016. "Correlated Beliefs, Returns, and Stock Market Volatility," 2016 Meeting Papers 130, Society for Economic Dynamics.
12. Wahal, Sunil & Yavuz, M. Deniz, 2013. "Style investing, comovement and return predictability," Journal of Financial Economics, Elsevier, vol. 107(1), pages 136-154.
13. Gagnon, Louis & Andrew Karolyi, G., 2010. "Multi-market trading and arbitrage," Journal of Financial Economics, Elsevier, vol. 97(1), pages 53-80, July.
    • Gagnon, Louis & Karolyi, G. Andrew, 2004. "Multi-market Trading and Arbitrage," Working Paper Series 2004-9, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
14. Peng, Lin & Xiong, Wei, 2006. "Investor attention, overconfidence and category learning," Journal of Financial Economics, Elsevier, vol. 80(3), pages 563-602, June.
    • Lin Peng & Wei Xiong, 2005. "Investor Attention: Overconfidence and Category Learning," NBER Working Papers 11400, National Bureau of Economic Research, Inc.
15. Ehrmann, Michael & Jansen, David-Jan, 2022. "Stock return comovement when investors are distracted: More, and more homogeneous," Journal of International Money and Finance, Elsevier, vol. 129(C).
    • Ehrmann, Michael & Jansen, David-Jan, 2020. "Stock Return Comovement when Investors are Distracted: More, and More Homogeneous," CEPR Discussion Papers 14713, C.E.P.R. Discussion Papers.
    • Ehrmann, Michael & Jansen, David-Jan, 2020. "Stock return comovement when investors are distracted: more, and more homogeneous," Working Paper Series 2412, European Central Bank.
16. Kim, Min-Su & Kim, Woojin & Lee, Dong Wook, 2015. "Stock return commonality within business groups: Fundamentals or sentiment?," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 198-224.
17. Adams, Zeno & Glück, Thorsten, 2015. "Financialization in commodity markets: A passing trend or the new normal?," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 93-111.
18. d'Addona, Stefano & Kind, Axel H., 2006. "International stock-bond correlations in a simple affine asset pricing model," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2747-2765, October.
    • Stefano d'Addona & Axel H. Kind, 2005. "International Stock-Bond Correlations in a Simple Affine Asset Pricing Model," Finance 0502018, University Library of Munich, Germany.
19. Li, Mingsheng & Zhao, Xin, 2016. "Neighborhood effect on stock price comovement," The North American Journal of Economics and Finance, Elsevier, vol. 35(C), pages 1-22.
20. Connolly, Robert A. & Stivers, Chris & Sun, Licheng, 2007. "Commonality in the time-variation of stock-stock and stock-bond return comovements," Journal of Financial Markets, Elsevier, vol. 10(2), pages 192-218, May.
21. Chou, Pin-Huang & Ho, Po-Hsin & Ko, Kuan-Cheng, 2012. "Do industries matter in explaining stock returns and asset-pricing anomalies?," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 355-370.
22. Zhang, Wei & Li, Xiao & Shen, Dehua & Teglio, Andrea, 2016. "R2 and idiosyncratic volatility: Which captures the firm-specific return variation?," Economic Modelling, Elsevier, vol. 55(C), pages 298-304.
    • Wei Zhang & Xiao Li & Dehua Shen & Andrea Teglio, 2015. "R2 and Idiosyncratic Volatility: Which Captures the Firm-specific Return Variation?," Working Papers 2015/06, Economics Department, Universitat Jaume I, Castellón (Spain).
23. Scruggs, John T., 2007. "Noise trader risk: Evidence from the Siamese twins," Journal of Financial Markets, Elsevier, vol. 10(1), pages 76-105, February.
24. Martin Hoesli & Kustrim Reka, 2015. "Contagion Channels between Real Estate and Financial Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(1), pages 101-138, March.
    • Martin Hoesli & Reka Kustrim, 2013. "Contagion Channels between Real Estate and Financial Markets," Swiss Finance Institute Research Paper Series 13-12, Swiss Finance Institute.
25. Baltzer, Markus & Stolper, Oscar & Walter, Andreas, 2013. "Is local bias a cross-border phenomenon? Evidence from individual investors’ international asset allocation," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2823-2835.
    • Baltzer, Markus & Stolper, Oscar & Walter, Andreas, 2013. "Is local bias a cross-border phenomenon? Evidence from individual investors' international asset allocation," Discussion Papers 18/2013, Deutsche Bundesbank.
26. Sina Ehsani & Donald Lien, 2015. "Effects of Passive Intensity on Aggregate Price Dynamics," The Financial Review, Eastern Finance Association, vol. 50(3), pages 363-391, August.
27. Volkan Muslu & Michael Rebello & Yexiao Xu, 2014. "Sell‐Side Analyst Research and Stock Comovement," Journal of Accounting Research, Wiley Blackwell, vol. 52(4), pages 911-954, September.
28. Cooper, Michael J. & Gubellini, Stefano, 2011. "The critical role of conditioning information in determining if value is really riskier than growth," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 289-305, March.
29. Agyei-Ampomah, Sam & Mazouz, Khelifa, 2011. "The comovement of option listed stocks," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2056-2069, August.
30. Massa, Massimo & Simonov, Andrei & Stenkrona, Anders, 2015. "Style representation and portfolio choice," Journal of Financial Markets, Elsevier, vol. 23(C), pages 1-25.
31. Cohen, Lauren & Lou, Dong, 2012. "Complicated firms," Journal of Financial Economics, Elsevier, vol. 104(2), pages 383-400.
32. John H. Cochrane, 2002. "Stocks as Money: Convenience Yield and the Tech-Stock Bubble," NBER Working Papers 8987, National Bureau of Economic Research, Inc.
33. Luo, Yan & Ren, Jinjuan & Wang, Yizhi, 2015. "Misvaluation comovement, market efficiency and the cross-section of stock returns: Evidence from China," Economic Systems, Elsevier, vol. 39(3), pages 390-412.
34. Naranjo, Andy & Porter, Burt, 2010. "Risk factor and industry effects in the cross-country comovement of momentum returns," Journal of International Money and Finance, Elsevier, vol. 29(2), pages 275-299, March.
35. Schmitt, Noemi & Westerhoff, Frank, 2014. "Speculative behavior and the dynamics of interacting stock markets," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 262-288.
    • Schmitt, Noemi & Westerhoff, Frank, 2013. "Speculative behavior and the dynamics of interacting stock markets," BERG Working Paper Series 90, Bamberg University, Bamberg Economic Research Group.
36. Yun, Jooyoung & Kim, Tong S., 2010. "The effect of changes in index constitution: Evidence from the Korean stock market," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 258-269, September.
37. Changqing, Luo & Chi, Xie & Cong, Yu & Yan, Xu, 2015. "Measuring financial market risk contagion using dynamic MRS-Copula models: The case of Chinese and other international stock markets," Economic Modelling, Elsevier, vol. 51(C), pages 657-671.
38. 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.
39. Mondria, Jordi, 2010. "Portfolio choice, attention allocation, and price comovement," Journal of Economic Theory, Elsevier, vol. 145(5), pages 1837-1864, September.
40. Green, T. Clifton & Hwang, Byoung-Hyoun, 2009. "Price-based return comovement," Journal of Financial Economics, Elsevier, vol. 93(1), pages 37-50, July.
41. Karolyi, G. Andrew & Lee, Kuan-Hui & van Dijk, Mathijs A., 2012. "Understanding commonality in liquidity around the world," Journal of Financial Economics, Elsevier, vol. 105(1), pages 82-112.
42. Choi, Nicole & Sias, Richard W., 2009. "Institutional industry herding," Journal of Financial Economics, Elsevier, vol. 94(3), pages 469-491, December.
43. Chang, Eric C. & Luo, Yan & Ren, Jinjuan, 2013. "Pricing deviation, misvaluation comovement, and macroeconomic conditions," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5285-5299.
44. Cho, Sungjun & Hyde, Stuart & Nguyen, Ngoc, 2015. "Time-varying regional and global integration and contagion: Evidence from style portfolios," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 109-131.
45. Khanna, Tarun & Thomas, Catherine, 2009. "Synchronicity and firm interlocks in an emerging market," Journal of Financial Economics, Elsevier, vol. 92(2), pages 182-204, May.
46. Ocran, Mathew & Mlambo, Chipo, 2009. "Excess co-movement in asset prices: The case of South Africa," MPRA Paper 24277, University Library of Munich, Germany.
47. Kizys, Renatas & Pierdzioch, Christian, 2009. "Changes in the international comovement of stock returns and asymmetric macroeconomic shocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(2), pages 289-305, April.
48. Gygax, André F. & Otchere, Isaac, 2010. "Index composition changes and the cost of incumbency," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2500-2509, October.
49. Eun, Cheol S. & Wang, Lingling & Xiao, Steven C., 2015. "Culture and R2," Journal of Financial Economics, Elsevier, vol. 115(2), pages 283-303.
50. Kaul, Aditya & Mehrotra, Vikas & Stefanescu, Carmen, 2016. "Location and excess comovement," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 293-308.