International stock return comovements

Geert Bekaert, Robert Hodrick () and Xiaoyan Zhang ()

No 931, Working Paper Series from European Central Bank

Abstract: We examine international stock return co-movements using country-industry and country-style portfolios as the base portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston- ouwenhorst (1994) model. We then establish the following stylized facts regarding stock return co-movements. First, we do not find 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, temporary phenomenon. JEL Classification: C52, G11, G12

Keywords: APT model; co-movements; correlation dynamics; factor models; global market integration; industry country debate; international diversification (search for similar items in EconPapers)
Date: 2008-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24)

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Related works:
Journal Article: International Stock Return Comovements (2009)
Working Paper: International Stock Return Comovements (2006)
Working Paper: International Stock Return Comovements (2005)
Working Paper: International Stock Return Comovements (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:2008931

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