1 edition of Comovements in national stock market returns found in the catalog.
Comovements in national stock market returns
Includes bibliographical references.
|Series||IMF working paper -- WP/96/28|
|Contributions||International Monetary Fund.|
|The Physical Object|
|Pagination||iii, 25 p. ;|
|Number of Pages||25|
This paper examines stock market co-movements. It begins with a discussion of several conceptual issues involved in measuring these movements and how to test for contagion. Standard tests examine if cross-market correlation in stock market returns increase during a period of crisis. The measure of. Abstract. Using monthly returns for o stocks from 49 countries over a three-decade period, we show that a multifactor model that includes factor-mimicking portfolios based on momentum and cash flow-to-price captures significant time series variation in global stock returns, and has lower pricing errors and fewer model rejections than the global CAPM or a popular model that .
average stock returns, instead treating the comovements of stocks with market cash ﬂows and discount rates as objects of inherent interest. We ﬁrst study the systematic risks of value and growth stocks, and then we examine other common movements in stock returns that can be predicted using ﬁrm-level equity market and accounting data. Complete stock market coverage with breaking news, analysis, stock quotes, before & after hours market data, research and earnings.
"Comovements in Stock Prices and Comovements in Dividends," Journal of Finance (July ), – "Causes of Changing Financial Market Volatility," in Financial Market Volatility, Federal Reserve Bank of Kansas City, , pp. 1– Understanding market comovements are important for other reasons. Economists are interested in comovements because comovements may affect the flow of capital between countries. Capital market theorists are interested in this because if affects equity market segmentation (Lessig & Joy, ). According to Onour (), "Integration in stock.
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This paper is a response to the literature that tests for cointegration between national stock market indices. It argues that apparent findings of cointegration in other studies may often be due to the use of asymptotic, rather than small-sample, critical values.
In fact, economic theory suggests that cointegration is unlikely to be observed in efficient markets. However, this paper finds evidence for the predictability of relative returns and the existence of a ‘winner-loser’ effect across 16 national equity markets.
A conclusion is that national stock market indices include a common world Comovements in national stock market returns book and two country-specific Cited by: ELSEVIER Journal of Monetary Economics 36 () JOURNALOF Monetary ECONOMICS Comovements in national stock market returns: Evidence of predictability, but not cointegration Anthony J.
Richards International Monetary Fund, Washinqton, DCUSA (Received August ; final version received October ) Abstract This paper is a response to the literature Cited by: Downloadable. This paper is a response to the literature that tests for cointegration between national stock market indices.
It argues that apparent findings of cointegration in other studies may often be due to the use of asymptotic, rather than small-sample, critical values.
In fact, economic theory suggests that cointegration is unlikely to be observed in efficient markets. However, this paper finds some evidence for the long-horizon predictability of relative returns, and the existence of “winner-loser” reversals across 16 national equity markets.
A conclusion is that national stock market indices include a common world component and two country-specific components, one permanent and one : Anthony J. Richards. As the US stock market is the most influential in the world [39,40], we expect the lagged log return of the S&P to be an appropriate predictor for the performance of the national stock market.
In fact, when the National Bureau of Economic Research announced that the U.S. was officially in a recession, the stock market was bouncing back and recovering its. • Meric, I. & Meric, G. Potential gains from International Portfolio diversification and intertemporal stability and seasonality in international stock market relationships.
Journal of Banking and Finance, 13, • Merton, R. On estimating the expected return on the market. For order follow-ups, inquiries, and concerns, please email us at [email protected] or call our hotline at Thank you.
Get this from a library. Comovements in National Stock Market Returns: Evidence of Predictability but not Cointegration. [Richards, Anthony J.J.] -- This paper is a response to the literature that tests for cointegration between national stock market indices.
It argues that apparent findings of cointegration in other studies may often be due to. International Stock Return Comovements Geert Bekaert, Robert J. Hodrick, Xiaoyan Zhang. NBER Working Paper No. Issued in December NBER Program(s):Asset Pricing, International Finance and Macroeconomics We examine international stock return comovements using country-industry and country-style portfolios.
Stock Market Comovements and Industrial Structure Pushan Dutt* Ilian Mihov† INSEAD INSEAD June Abstract We use monthly stock market indices for 58 countries to construct pairwise correlations of returns and explain these correlations with risk-adjusted. We examine international stock return comovements using country-industry and country-style portfolios.
We first establish that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston-Rouwenhorst () model.
We then establish the following stylized facts regarding stock return comovements. Abstract 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. If excess comovement of index stock returns is the result of uninformed demand for index stocks, then the returns of overweighted stocks should comove more with the equal-weighted return of the other index stocks, while the returns of underweighted stocks should comove less.
National Stock Exchange The National Stock Exchange is located in Mumbai. It was incorporated in and became a stock exchange in The basic purpose of this exchange was to bring the transparency in the stock markets.
It started its operations in the wholesale debt market in June The equity market segment of the National Stock. The interesting question is whether comovements of stock prices and Co integration, Dynamic Linkage and Portfolio Diversification from Selected Stock Market in Africa DOI: / 23 | Page.
In the case of Beine and Candelon, a national DGF is a country’s pairwise stock-return correlations adjusted for the boosting effect of high volatility.
In the case of Chuluun, a national DGF is the stock-return correlation between a national market index and a world portfolio. She finds that the DGF tends to be higher in a country. Downloadable (with restrictions). We analyze how economic integration affects the cross-country comovements in stock returns, in developed and emerging markets.
Bilateral trade intensity increases the correlation of returns, while real exchange rate volatility, the asymmetry of output growth and export dissimilarity decrease it.
Get this from a library. International stock return comovements. [Geert Bekaert; Robert J Hodrick; Xiaoyan Zhang; National Bureau of Economic Research.] -- Abstract: We examine international stock return comovements using country-industry and country-style portfolios.
We first establish that parsimonious risk-based factor models capture the covariance. Stock market data used in this book: Excel file .xls), Housing market data used in this book: Excel file .xls). Other Editions: Scribe Publications paperback (Australia and New Zealand) Princeton University Press paperback (UK only)audio edition Asymmetry in Stock Comovements: An Entropy Approach Abstract We provide an entropy approach for measuring asymmetric comovement between the return on a single asset and the market return.
This approach yields a model-free test for stock return asymmetry, generalizing the correlation-based test proposed by Hong, Tu, and Zhou ().October crash and concluded that national stock markets became more interrelated after the crash and found that the comovements among national stock markets were stronger when the US stock market is more volatile.
In Indian context, in one of the earliest studies Sharma and Kennedy () examined the price.