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- Title
International Stock Return Comovements.
- Authors
BEKAERT, GEERT; HODRICK, ROBERT J.; ZHANG, XIAOYAN
- Abstract
We examine international stock return comovements using country-industry and country-style portfolios as the base portfolios. We first establish that parsimonious risk-based factor models capture the data covariance structure better than the popular Heston–Rouwenhorst (1994) model. We then establish the following stylized facts regarding stock return comovements. First, there is no evidence for an upward trend in return correlations, except for the European stock markets. Second, the increasing importance of industry factors relative to country factors was a short-lived phenomenon. Third, large growth stocks are more correlated across countries than are small value stocks, and the difference has increased over time.
- Subjects
RATE of return on stocks; STOCKS (Finance); FOREIGN investments; STOCK exchanges; GROWTH stocks; STATISTICAL correlation
- Publication
Journal of Finance (Wiley-Blackwell), 2009, Vol 64, Issue 6, p2591
- ISSN
0022-1082
- Publication type
Article
- DOI
10.1111/j.1540-6261.2009.01512.x