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Return comovement

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  • Parsley, David
  • Popper, Helen

Abstract

We examine intra-market return comovement within each of 33 economies’ stock exchanges from 1995 through 2013 using a model-free comovement gauge. We find that the stability of international macroeconomic trilemma policies, the number of crises, and the extent of turnover overshadow the empirical relevance of many variables previously thought to be important for intra-market comovement, including country risk, corruption, and investor protections.

Suggested Citation

  • Parsley, David & Popper, Helen, 2020. "Return comovement," Journal of Banking & Finance, Elsevier, vol. 112(C).
    • Handle: RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426617302340
    DOI: 10.1016/j.jbankfin.2017.09.019
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