International Stock Return Comovements

• 成果类型: Article
• 署名作者: Bekaert, Geert; Hodrick, Robert J.; Zhang, Xiaoyan
• 署名单位: Columbia University; National Bureau of Economic Research; Cornell University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2009.01512.x
• 发表日期: 2009
• 页码: 2591-2626
• 关键词: market integration; time-series; volatility; arbitrage; diversification; country; WORLD; RISK

摘要

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 data covariance structure better than the popular Heston-Rouwenhorst (1994) model. We then establish the following stylized facts regarding stock return comovements. First, there is no 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 phenomenon. Third, large growth stocks are more correlated across countries than are small value stocks, and the difference has increased over time.