On Stock Market Return Co-Movements: Macroeconomic News, Dispersion of Beliefs, and Contagion
Preprint
- 1 January 2000
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
We document and explain the return co-movement for the U.S., U.K., and Japanese equity markets for the period of 1985-1996. Our empirical results show the impoKeywords
This publication has 10 references indexed in Scilit:
- Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and VolatilityThe Review of Financial Studies, 1994
- Stock Prices, News, and Business ConditionsThe Review of Financial Studies, 1993
- Conditional Heteroskedasticity in Asset Returns: A New ApproachEconometrica, 1991
- Stock Market Structure and VolatilityThe Review of Financial Studies, 1990
- A Bayesian approach to testing portfolio efficiencyJournal of Financial Economics, 1987
- Stock Prices and Economic NewsThe Journal of Business, 1985
- International Portfolio Choice and Corporation Finance: A SynthesisThe Journal of Finance, 1983
- A model of international asset pricingJournal of Financial Economics, 1981
- An equilibrium model of the international capital marketJournal of Economic Theory, 1974
- The International Pricing of Risk: An Empirical Investigation of the World Capital Market StructureThe Journal of Finance, 1974