Academic literature on the topic 'Stock return comovement'
Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles
Consult the lists of relevant articles, books, theses, conference reports, and other scholarly sources on the topic 'Stock return comovement.'
Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.
You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.
Journal articles on the topic "Stock return comovement"
1
Dajcman, Silvo, Mejra Festic, and Alenka Kavkler. "Comovement Dynamics between Central and Eastern European and Developed European Stock Markets during European Integration and Amid Financial Crises – A Wavelet Analysis." Engineering Economics 23, no. 1 (February 15, 2012): 22–32. http://dx.doi.org/10.5755/j01.ee.23.1.1221.
Full textAbstract:
Stock market comovements between developed (represented in the article by markets of Austria, France, Germany, and the UK) and developing stock markets (represented here by three Central and Eastern European (CEE) markets of Slovenia, the Czech Republic, and Hungary) are of great importance for the financial decisions of international investors. From the point of view of portfolio diversification, short-term investors are more interested in the comovements of stock returns at higher frequencies (short-term movements), while long-term investors focus on lower frequencies comovements. As such, one has to resort to a time-frequency domain analysis to obtain insight about comovements at the particular time-frequency (scale) level. The empirical literature on the CEE and developed stock markets interdependence predominantly apply simple (Pearsons) correlation analysis, Granger causality tests, cointegration analysis, and GARCH modeling. None of the existent empirical studies examine time-scale comovements between CEE and developed stock market returns. By applying a maximal overlap discrete wavelet transform correlation estimator and a running correlation technique, we investigated the dynamics of stock market return comovements between individual Central and Eastern European countries and developed European stock markets in the period from 1997-2010. By analyzing the time-varying dynamics of stock market comovements on a scale-by-scale basis, we also examined how major events (financial crises in the investigated time period and entrance to the European Union) affected the comovement of CEE stock markets with developed European stock markets. The results of the unconditional correlation analysis show that the developed European stock markets of France, the UK, Germany and Austria were more interdependent in the observed period than the CEEs stock markets. The later group of countries exhibited a lower degree of comovement between themselves as well as with the developed European stock markets during all the observed time period. The Slovenian stock market was the least correlated with other stock markets. By using the rolling wavelet correlation technique, we wanted to answer the question as to how the correlation between CEE and developed stock markets changed over the observed period. In particular, we wanted to examine whether major economic (financial) and political events in the world and European economies (the Russian financial crisis, the dot-com financial crisis, the attack on the WTC, the CEE countries joining the European union, and the recent global financial crisis) have influenced the dynamics of CEE stock market comovements with developed European stock markets. The results show that stock market return comovements between CEE and developed European stock markets varied over time scales and time. At all scales and during the entire observed time period the Hungarian and Czech stock markets were more interconnected to developed European stock markets than the Slovenian stock market was. The highest comovement between the investigated CEE and developed European stock market returns was normally observed at the highest scales (scale 5, corresponding to stock market return dynamics over 32-64 days, and scale 6, corresponding to stock market return dynamics over 32-64 and 64-128 days). At all scales the Hungarian and Czech stock markets were more connected to developed European stock markets than the Slovenian stock market. We found that European integration lead to increased comovement between CEE and developed stock markets, while the financial crises in the observed period led only to short-term increases in stock market return comovements.DOI: http://dx.doi.org/10.5755/j01.ee.23.1.1221
2
Jiang, Lei, Ke Wu, and Guofu Zhou. "Asymmetry in Stock Comovements: An Entropy Approach." Journal of Financial and Quantitative Analysis 53, no. 4 (August 2018): 1479–507. http://dx.doi.org/10.1017/s0022109018000340.
Full textAbstract:
We provide an entropy approach for measuring the 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 (2007). Based on this test, we find that asymmetry is much more pervasive than previously thought. Moreover, our approach also provides an entropy-based measure of downside asymmetric comovement. In the cross section of stock returns, we find an asymmetry premium: Higher downside asymmetric comovement with the market indicates higher expected returns.
3
Hameed, Allaudeen, Randall Morck, Jianfeng Shen, and Bernard Yeung. "Information, Analysts, and Stock Return Comovement." Review of Financial Studies 28, no. 11 (August 4, 2015): 3153–87. http://dx.doi.org/10.1093/rfs/hhv042.
Full text
4
Cho, Chan Ho, and Tim Mooney. "Stock return comovement and Korean business groups." Review of Development Finance 5, no. 2 (December 2015): 71–81. http://dx.doi.org/10.1016/j.rdf.2015.09.001.
Full text
5
Luo, Ting, and Wenjuan Xie. "Industry information uncertainty and stock return comovement." Asia-Pacific Journal of Accounting & Economics 19, no. 3 (December 2012): 330–51. http://dx.doi.org/10.1080/16081625.2012.667477.
Full text
6
Hobbes, Garry, Frewen Lam, and Geoffrey F. Loudon. "Regime Shifts in the Stock–Bond Relation in Australia." Review of Pacific Basin Financial Markets and Policies 10, no. 01 (March 2007): 81–99. http://dx.doi.org/10.1142/s0219091507000969.
Full textAbstract:
Previous evidence suggests that the implied volatility from equity index options, as a measure of stock market uncertainty, can provide "forward-looking information" about the stock–bond return correlation. This paper uses an alternative regime-switching autoregressive model to characterize state-dependent stock–bond return comovement and to evaluate the contribution of implied volatility in understanding transition dynamics. We confirm that implied volatility provides information about transition dynamics which is not inherent in the stock and bond returns, notwithstanding several different features of our data set and methodological approach.
7
Kahraman, Bige, and Heather Tookes. "Margin Trading and Comovement During Crises*." Review of Finance 24, no. 4 (September 27, 2019): 813–46. http://dx.doi.org/10.1093/rof/rfz019.
Full textAbstract:
Abstract We exploit threshold rules governing margin trading eligibility in India to identify a causal link between margin trading and increased comovement during crises. Margin trading explains more than one-quarter of the increase return comovement that we observe during crises. To understand the mechanisms driving this result, we evaluate the relative importance of stock connections through common brokers (who provide margin financing) versus common margin traders. We find that common brokers are most important. Margin-eligible stocks that are more connected through common brokers experience larger crisis-period increases in pairwise return comovement, especially when those brokers’ clients have experienced recent portfolio losses, when their clients have outstanding margin loans in more volatile stocks, and when the brokers are large. These findings are consistent with Brunnermeier and Pedersen (2009), in which initial shocks propagate due to the tightening of margin constraints imposed by financial intermediaries.
8
Faias, José A., and Miguel A. Ferreira. "Does institutional ownership matter for international stock return comovement?" Journal of International Money and Finance 78 (November 2017): 64–83. http://dx.doi.org/10.1016/j.jimonfin.2017.08.004.
Full text
9
Marcet, Francisco. "Analyst coverage network and stock return comovement in emerging markets." Emerging Markets Review 32 (September 2017): 1–27. http://dx.doi.org/10.1016/j.ememar.2017.05.002.
Full text
10
Chen, Zhuo, and Andrea Lu. "A Market-Based Funding Liquidity Measure." Review of Asset Pricing Studies 9, no. 2 (September 10, 2018): 356–93. http://dx.doi.org/10.1093/rapstu/ray007.
Full textAbstract:
AbstractWe construct a traded funding liquidity measure from stock returns. Guided by a model, we extract the measure as the return spread between two beta-neutral portfolios constructed using stocks with high and low margins, to control for their sensitivity to the aggregate funding shocks. Our measure of funding liquidity is correlated with other funding liquidity proxies. It delivers a positive risk premium that cannot be explained by existing risk factors. A model augmented by our funding liquidity measure has superior pricing performance for various portfolios. Despite evident comovement, this measure contains additional information that is not subsumed by market liquidity.Received March 29, 2017; accepted August 8, 2018 by Editor Wayne Ferson.
Dissertations / Theses on the topic "Stock return comovement"
1
Fetherolf, Raylin. "The Effects of National Culture on Stock Return Comovement in European Equity Markets." Ohio University Honors Tutorial College / OhioLINK, 2020. http://rave.ohiolink.edu/etdc/view?acc_num=ouhonors160687215859392.
Full text
2
Lee, Suin. "Essays on Migration Flows and Finance." Scholar Commons, 2019. https://scholarcommons.usf.edu/etd/7841.
Full textAbstract:
In the first essay, I examine stock market implications of state-to-state migration flows that are known to provide the basis for social and business networks. I observe sizeable and robust excess return comovement between migration-flow receiving and sending states at both the individual stock and the state portfolio levels. Although I find that migration flows are associated with firms’ business activities, this comovement is not fully explained by economic fundamentals and decreases substantially when firms relocate to other states. In line with the view that migration networks form the basis for a common investor base for receiving and sending states stocks, I find that a) receiving states account for a significant portion of sending states stocks’ trading volume, and b) migration comovement is strongly correlated with the percent of local population born in migration states and more prevalent in states where retail investors display “old home” bias in addition to local bias. Moreover, consistent with the view that migration comovement may be rooted in sentiment shared by a common investor base, I find that it coexists with mispricing, measured by stock return reversals.
In the second essay, I test whether takeover targets are more likely to be connected to bidders via domestic migration network by relating acquisitions with the availability of social and business networks formed via interstate migration flows. I find that targets are more likely to be from the migration sending states when migration networks are sturdier. Additionally, I find that targets are more likely to be from migration sending states with stronger migration network a) when acquirer and targets are in different industries, b) when migration network involves non-neighboring states, and c) when targets are small. The results are consistent with the notion that information advantage is at least a partial explanation of firms’ propensity to choose targets from migration sending states, especially when information asymmetry about target is more pronounced. Moreover, I find that takeover premium is smaller and acquirer announcement returns are higher when migration sending states targets are small with low institutional ownership, which substantiate the view that migration networks present enhanced accessibility of soft information to acquirers and that the effect of such information advantage is valuable when there is substantial degree of information asymmetry regarding targets.
3
Zevallos, Mauricio, and Carlos del Carpio. "Metal Returns, Stock Returns and Stock Market Volatility." Economía, 2015. http://repositorio.pucp.edu.pe/index/handle/123456789/118122.
Full textAbstract:
Given the extensive participation of mining stocks in the Peruvian stock market, the Lima Stock Exchange (BVL) provides an ideal setting for exploring both the impact of metal returns on mining stock returns and stock market volatility, and the comovements between mining stock returns and metal returns. This research is a first attempt to explore these issues using international metal prices and the prices of the most important mining stocks on the BVL and the IGBVL index. To achieve this, we use univariate GARCH models to model individual volatilities, and the Exponentially Weighted Moving Average (EWMA) method and multivariate GARCH models with time-varying correlations to model comovements in returns. We found that Peruvian mining stock volatilities mimic the behavior of metal volatilities and that there are important correlation levels between metals and mining stock returns. In addition, we found time-varying correlations with distinctive behavior in different periods, with rises potentially related to international and local historical events.Dada la amplia participación de acciones mineras en el mercado de valores peruano, la Bolsa de Valores de Lima (BVL) resulta un escenario ideal para explorar tanto el impacto de los ren- dimientos de acciones de metales en los rendimientos de las acciones mineras y la volatilidad del Mercado de valores, así como los co-movimientos entre los rendimientos de las acciones mineras y los rendimientos de los metales. Este estudio es un primer intento en explorar estos temas usando precios internacionales de los metales y los precios de las acciones mineras más importantes de la BVL y del índice IGBVL. Para conseguir esto, hemos usado modelos GARCHunivariados para modelar las volatilidades individuales, y el método de Media Móvil Ponderada Exponencialmente (EWMA) y modelos GARCH multivariados con correlaciones de variantes en el tiempo a modelos de co-movimientos en rendimientos. Hemos encontrado que las volatilidades imitan el comportamiento de las volatilidades de los metales y que hay importantes niveles de correlación entre los metales y el retorno de las acciones mineras. Adicionalmente, encontramos correlaciones variantes en el tiempo con un comportamiento distintivo en periodos diferentes, el que aumenta potencialmente en relación con eventos históricos internacionales o nacionales.
4
Kougoulis, Periklis Markos. "Essays on a generalized variance-ratio statistic and the comovement of stock returns." Thesis, University of Essex, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.435256.
Full text
5
Kambadza, Tinashe Harry Dumile. "How integrated are the African stock exchanges?: evidence from long term comovement, returns and volatility spillovers." Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1002752.
Full textAbstract:
Stock market linkages have implications for portfolio diversification, asset pricing, monetary and regulatory policy as well as financial stability. This study examines the extent to which African stock markets are linked using daily data for the period 2000-2010. The study is divided into three main parts each focussing on the ways in which integration of the stock markets can be viewed. Firstly, we analyse the long run co-movement of the stock markets using both bivariate and multivariate Johansen (1988) and Johansen and Juselius (1990) cointegration approaches. Secondly, we analyse returns linkages using Factor analysis and the Vector Autoregressive (VAR) models. In the Factor Analysis model, we used two extraction methods, namely Principal Component Analysis and the Maximurn Likelihood technique. The VAR model was extended with impulse response, variance decomposition and block exogeniety. Thirdly, we analyse the behaviour of volatility and the volatility linkages among the stock markets. We initially analysed and modelled volatility in each stock market using the GARCH, EGARCH and GJR GARCH and then examined the long-term trend of the volatility. Conditional volatility series for each country were then estimated using the most appropriate model and were analysed using VAR, block exogeniety, impulse response and variance decomposition to determine the extent of their linkages. The findings of the study are as follows: Both the bivariate and multivariate models found slim evidence of cointegration amongst the stock markets, suggesting that there were opportunities for portfolio diversification for investors. In general, the financial crisis had very little impact on the long-run relationships of the stock markets. Results for the returns linkages showed that there were limited retums linkages with the exceptions of South African-Namibia and Egypt-Morocco to a lesser extent. South Africa was found to be the most endogenous, whilst Ghana and Nigeria were the most exogenous on the continent. We regards to volatility, we found that it was asymmetric and persistent across all the stock markets with long term trend of volatility showing that it significantly increased for most of the markets. Finally, there were limited volatility linkages, only between South Africa, Egypt and Namibia, implying that African stock markets are still largely segmented from each other. However, the linkages between South Africa and Egypt could have negative effects as they could lead to the spread of contagion effects during times of crises. Therefore, policymakers should consider revising and improving policies to enhance economic integration on the continent.
6
Chinzara, Zivanemoyo. "An empirical analysis of the long-run comovement, dynamic returns linkages and volatility transmission between the world major and the South African stock markets." Thesis, Rhodes University, 2008. http://hdl.handle.net/10962/d1002704.
Full textAbstract:
The international linkages of stock markets have important implications for cost of capital and portfolio diversification. Recent trends in globalization, financial liberalization and financial innovation raises questions with regard to whether African stock markets are being integrated into world equity markets. This study examines the extent to which the South African (SA) equity market is integrated into the world equity markets using daily data for the period 1995-2007. The study is divided into three main parts, each looking at the different ways in which integration can be considered. The first investigates whether there is long run comovement between the SA and the major global equity markets. Both bivariate and multivariate Johansen (1988) and Johansen and Juselius (1990) cointegration approaches were utilised. Vector Error Correction Models (VECMs) are then estimated for portfolios which show evidence of cointegration. The second part analyses returns linkages using the Vector Autoregressive (VAR), block exogeneity, impulse response and variance decomposition. The third part examines the behaviour of volatility and volatility linkages among the stock markets. Firstly volatility is analysed using the GARCH, EGARCH and GJR GARCH. Simultaneously, the hypothesis that investors receive a premium for investing in more risky stock markets is explored using the GARCH-in mean. The long term trend of volatility is also examined. Volatility linkages are then analysed using the VAR, block exogeneity, impulse response and variance decomposition. The first part established that no bivariate cointegration exists between the SA and any of the stock markets being studied, implying that pairwise portfolio diversification is potentially worthwhile for SA portfolio managers. However, multivariate cointegration exists for some portfolios, with the US, UK, Germany and SA showing evidence of error correction for some of these portfolios. Findings on return linkages is that there are significant returns linkages among the markets, with the US and SA being the most exogenous and most endogenous respectively. Findings regarding volatility are that the volatility in all the markets is inherently asymmetric and that except for the US there is no risk premium in any of the markets. The long term trend of volatility in all the stock markets was found to be relatively stable. The final finding was that significant volatility linkages exist among the markets, with the US being the most exogenous and SA and China showing evidence of bidirectional linkages. Overall, except for volatility linkages, the integration of SA into the global equity markets is still quite low. Thus, both SA and international investors can capitalise on this portfolio diversification potential. On the other hand, policy makers should capitalise on this and make policies that will attract the much needed foreign investors.
7
Nardy, Andre. "Verificação da ocorrência do efeito índice no IBOVESPA, 2003-2012." Pontifícia Universidade Católica de São Paulo, 2014. https://tede2.pucsp.br/handle/handle/1093.
Full textAbstract:
Made available in DSpace on 2016-04-25T16:44:37Z (GMT). No. of bitstreams: 1
Andre Nardy.pdf: 1089149 bytes, checksum: bf93de2a1a852c7d9ef44cfa8f114323 (MD5)
Previous issue date: 2014-02-12The dynamics of abnormal returns , volume and betas is analyzed for Bovespa s stocks included or excluded from the Ibovespa index between 2003 and 2012, in a phenomenon known in the financial literature as the index effect, one of the oldest reported anomalies. Event studies are used with different settings of estimation window to measure abnormal returns and assess its effect on the calculation of return for the market model , since the calculation of the theoretical portfolio of Bovespa is known beforehand and is based on marketability and liquidity. No abnormal return is veryfied for shares on the date of their effective entry on the index, only abnormally high volumes. On the date of the first preview of inclusions positive abnormal returns and volumes are observed, and so on for excluded stocks. However, when we exclude from the sample companies with IPOs up to 3 years of its entry into the Bovespa Index and those assets included during the crisis of the financial markets, it appears tha abnormal returns do occur on the effective date, consistent with previous literature on the theme. The betas of the stocks included tend to covariate with greater force after inclusion in the index . With the results achieved market efficiency in the semi-strong form cannot be challenged for the Brazilian stock market, but there is a possible change in the occurrence of the index effect for the period studied, compared with previous studies
Analisa-se a ocorrência para o Ibovespa de dinâmica anormal de retornos, volume e dos betas para as ações incluídas ou excluídas do índice, entre 2003 e 2012, em fenômeno conhecido dentro da literatura de finanças como Efeito índice, uma das anomalias mais antigas relatadas. Utilizam-se estudos de eventos em diferentes configurações de janela de estimação para medir os retornos anormais e avaliar o efeito da mesma na apuração de retorno pelo modelo de mercado, dado o cálculo da carteira teórica do Ibovespa ser conhecido de antemão e baseado em negociabilidade e liquidez. Não se encontram ocorrências de retorno anormal para a data de efetiva entrada das ações, apenas volumes anormalmente altos. Na data de primeira prévia das inclusões ocorrem retornos e volumes anormais positivos, o mesmo ocorrendo para exclusões. Entretanto, ao se excluir da amostra de inclusões as empresas com IPOs realizados até 3 anos de seu ingresso no Ibovespa e aqueles ativos incluídos durante a crise dos mercados financeiros, verifica-se retornos anormais na data de efetivação da nova carteira teórica, coerente com a literatura precedente. Os betas das ações incluídas tendem a covariar com maior força após a inclusão no índice. Com os resultados não é possível questionar a eficiência na forma semiforte para o mercado acionário brasileiro, porém verifica-se uma possível mudança na ocorrência do efeito índice para o período estudado, em comparação com estudos anteriores
8
Chen, Sheng-Hung, and 陳盛虹. "The relationship between the comovement of stock return and investor sentiment." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/25731501030772237679.
Full textAbstract:
碩士銘傳大學
財務金融學系碩士班
102
This paper investigates the extent of comovement of portfolio returns with different firm characteristics and then examines the relationship between the comovement of portfolio returns and investor sentiment. The study uses the common stocks in the Taiwan Stock Exchange during the period from January, 2003 to December, 2012 for our analysis. In order to remove the market-wide effect, following the approach suggested by Kallberg and Pasquariello (2008) and Eckel et al. (2011), this paper employs the residual returns with the principal components analysis suggested by Pukthuanthong and Roll (2009) to construct the comovement index of portfolio returns. The empirical results show that the comovement index of portfolio returns is positive correlated with investor sentiment. Our results also find that the relationship between comovement index of portfolio returns and investor sentiment will vary with firm characteristics.
9
Su, Yi-Hsin, and 蘇怡心. "The Comovement of Investor Sentiment, Stock Market Return, and Business Cycle Indicators." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/03657033265429270830.
Full textAbstract:
碩士世新大學
財務金融學研究所(含碩專班)
102
People are always prone to be influenced by emotional and unrelated factors when they make everyday decisions. Many studies have shown that the effect of investor sentiment on investment decision-making, firm performances, and stock returns are far beyond our imagination. Although there are different ways to measure investor sentiments, their effects on stock market returns and the economic future trends are significant. This study investigates the dynamic relationships of investor sentiment, stock market returns, and business cycle indicators, especially in analyzing their comovement patterns. In this study, Granger causality test, correlation analysis, cross-correlation analysis and vector autoregression model (VAR) are used to examine whether there exist relations or comovements between the Taiwan e-investor sentiment and stock market returns or business cycle indicators. The empirical results show that there is a statistically significant positive relation between Taiwan e-investor sentiment and stock market returns, and stock market returns may lead investor sentiment.
10
Lin, Cheng-Hao, and 林政皜. "Asymmetric Information, Trading Volume, and Stock Return Comovements: Evidence from the Great China Cross-Listed Stocks." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/10773088262903240562.
Full textAbstract:
碩士雲林科技大學
財務金融系碩士班
99
This paper applies the Gagnon and Karolyi''s(2009) model to investigate the spillover effect from the Great China stock market, among Taiwan, Hong Kong and Mainland China.The goal of the paper is to investigate the great China whether dynamic relationship between volume and internation stock return spillovers is linke to the degree of the information asymmetry. Do the price changes originating at domestic market accompanied by large volume increases tend to be reversed in overseas market? What about similar return-volume spillovers from overseas to domestic market? This study show that the overseas(T.W.) investors are more influenced by price changes that occur in the home(H.K.) market than domestic investors are about price changes in the overseas(T.W.) market. But the phenomenon is not found between the China and H.K markets.
Books on the topic "Stock return comovement"
1
Barberis, Nicholas. Comovement. Cambridge, MA: National Bureau of Economic Research, 2002.
Find full text
2
Hameed, Allaudeen. Information, analysts, and stock return comovement. Cambridge, MA: National Bureau of Economic Research, 2010.
Find full text
3
Bekaert, Geert. International stock return comovements. Cambridge, Mass: National Bureau of Economic Research, 2005.
Find full text
4
Fund, International Monetary, ed. Comovements in national stock market returns: Evidence of predictability but not cointegration. Washington, D.C: International Monetary Fund, 1996.
Find full textReports on the topic "Stock return comovement"
1
Hameed, Allaudeen, Randall Morck, Jianfeng Shen, and Bernard Yeung. Information, analysts, and stock return comovement. Cambridge, MA: National Bureau of Economic Research, March 2010. http://dx.doi.org/10.3386/w15833.
Full text
2
Bekaert, Geert, Robert Hodrick, and Xiaoyan Zhang. International Stock Return Comovements. Cambridge, MA: National Bureau of Economic Research, December 2005. http://dx.doi.org/10.3386/w11906.
Full text
3
Baele, Lieven, Geert Bekaert, and Koen Inghelbrecht. The Determinants of Stock and Bond Return Comovements. Cambridge, MA: National Bureau of Economic Research, August 2009. http://dx.doi.org/10.3386/w15260.
Full text