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- Title
Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements.
- Authors
Karolyi, G. Andrew; Stulz, René M.
- Abstract
This article explores the fundamental factors that affect cross-country stock return correlations. Using transactions data from 1988 to 1992, we construct overnight and intraday returns for a portfolio of Japanese stocks using their NYSE-traded American Depository Receipts (ADRs) and a matched-sample portfolio of U.S. stocks. We find that U.S. macroeconomic announcements, shocks to the Yen/Dollar foreign exchange rate and Treasury bill returns, and industry effects have no measurable influence on U.S. and Japanese return correlations. However, large shocks to broad-based market indices (Nikkei Stock Average and Standard and Poor's 500 Stock Index) positively impact both the magnitude and persistence of the return correlations.
- Subjects
JAPAN; UNITED States; RATE of return on stocks; STATISTICAL correlation; INVESTMENT analysis; RATE of return; AMERICAN depository receipts; NEW York Stock Exchange; FOREIGN exchange rates; FOREIGN exchange; TREASURY bills; NIKKEI 225; STANDARD &; Poor's 500 Index
- Publication
Journal of Finance (Wiley-Blackwell), 1996, Vol 51, Issue 3, p951
- ISSN
0022-1082
- Publication type
Article
- DOI
10.1111/j.1540-6261.1996.tb02713.x