Why do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements

G. Andrew Karoly and René Stulz

Research in Financial Economics from Ohio State University

Abstract: This study explores empirically the fundamental factors that affect cross-country stock return correlations. Using transactions data from 1988 to 1992, we construct overnight and intraday returns for a portfolio of Japanese stocks using their NYSE-traded American Depository Receipts (ADRs) and a matched-sample portfolio of U.S. stocks. We find that U.S. macroeconomic announcements, shocks to the Yen/Dollar foreign exchange rate and Treasury bill returns and industry effects have no measurable influence on U.S. and Japanese return correlations. However, large shocks to broad-based market indices (Nikkei Stock Average and Standard and Poor's 500 Stock Index) positively impact both the magnitude and persistence of the return correlations.

New Economics Papers: this item is included in nep-sea
References: Add references at CitEc
Citations: View citations in EconPapers (287)

Downloads: (external link)
http://www.cob.ohio-state.edu/~fin/journal/dice/papers/1995/95-1.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.cob.ohio-state.edu/~fin/journal/dice/papers/1995/95-1.pdf [301 Moved Permanently]--> https://www.cob.ohio-state.edu/~fin/journal/dice/papers/1995/95-1.pdf [301 Moved Permanently]--> https://fisher.osu.edu/~fin/journal/dice/papers/1995/95-1.pdf [301 Moved Permanently]--> http://fisher.osu.edu/people/fin/journal/dice/papers/1995 [301 Moved Permanently]--> https://fisher.osu.edu/people/fin/journal/dice/papers/1995)

Related works:
Journal Article: Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements (1996)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wop:ohsrfe:9603

Access Statistics for this paper

More papers in Research in Financial Economics from Ohio State University Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Krichel ().