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Interstate migration networks and stock return comovement

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  • Suin Lee
  • Christos Pantzalis
  • Jung Chul Park

Abstract

We document sizable and robust excess return comovement between migration‐flow receiving and sending states at the state‐portfolio level. Migration comovement is not fully explained by economic fundamentals and strengthens with the size of the migration network. Consistent with the view that it is partially driven by correlated trading of a common investor base within migration networks, migration comovement a) increases substantially when there is an exogenous positive shock to migration flows, b) is greater with old firms in migration‐sending states, and c) strengthens when retail investors display “old home” bias in addition to local bias.

Suggested Citation

  • Suin Lee & Christos Pantzalis & Jung Chul Park, 2024. "Interstate migration networks and stock return comovement," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 47(1), pages 89-121, March.
    • Handle: RePEc:bla:jfnres:v:47:y:2024:i:1:p:89-121
    DOI: 10.1111/jfir.12364
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