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The cross‐predictability of industry returns in international financial markets

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  • Xin Wang
  • Haofei Zhang

Abstract

This article finds evidence of return cross‐predictability among trading partners in international financial markets. We show that the predictability of international customers dominates the predictability of domestic customers, and the predictability of international intra‐industry customers dominates the predictability of international inter‐industry customers. This return cross‐predictability decreases with two country characteristics: financial sophistication and size.

Suggested Citation

  • Xin Wang & Haofei Zhang, 2023. "The cross‐predictability of industry returns in international financial markets," International Review of Finance, International Review of Finance Ltd., vol. 23(4), pages 859-885, December.
    • Handle: RePEc:bla:irvfin:v:23:y:2023:i:4:p:859-885
    DOI: 10.1111/irfi.12426
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    References listed on IDEAS

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