Return comovement

David Parsley and Helen Popper

Journal of Banking & Finance, 2020, vol. 112, issue C

Abstract: We examine intra-market return comovement within each of 33 economies’ stock exchanges from 1995 through 2013 using a model-free comovement gauge. We find that the stability of international macroeconomic trilemma policies, the number of crises, and the extent of turnover overshadow the empirical relevance of many variables previously thought to be important for intra-market comovement, including country risk, corruption, and investor protections.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426617302340

DOI: 10.1016/j.jbankfin.2017.09.019

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