Arbeitspapier
International stock return comovements
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.
- Language
-
Englisch
- Bibliographic citation
-
Series: ECB Working Paper ; No. 931
- Classification
-
Wirtschaft
Model Evaluation, Validation, and Selection
Portfolio Choice; Investment Decisions
Asset Pricing; Trading Volume; Bond Interest Rates
- Subject
-
APT model
Comovements
correlation dynamics
Factor models
global market integration
industry country debate
international diversification
Finanzmarkt
Kapitaleinkommen
Portfolio-Management
Industrieländer
- Event
-
Geistige Schöpfung
- (who)
-
Bekaert, Geert
Hodrick, Robert J.
Zhang, Xiaoyan
- Event
-
Veröffentlichung
- (who)
-
European Central Bank (ECB)
- (where)
-
Frankfurt a. M.
- (when)
-
2008
- Handle
- Last update
- 10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Bekaert, Geert
- Hodrick, Robert J.
- Zhang, Xiaoyan
- European Central Bank (ECB)
Time of origin
- 2008
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