International Stock Return Comovements
Geert Bekaert (),
Robert Hodrick () and
Working Papers from University of Pennsylvania, Wharton School, Weiss Center
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 covariance structure of the data better than the popular Heston-ouwenhorst (1994) model. We then establish the following stylized facts regarding stock return comovements. 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. Third, we find no evidence for a trend in idiosyncratic risk in any of the countries we examine.
JEL-codes: C52 (search for similar items in EconPapers)
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Journal Article: International Stock Return Comovements (2009)
Working Paper: International stock return comovements (2008)
Working Paper: International Stock Return Comovements (2006)
Working Paper: International Stock Return Comovements (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:ecl:upafin:06-3
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