English, Article, Journal or magazine article edition: Why do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements G. Andrew Karoly; Rene Stulz

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Bookmark: http://trove.nla.gov.au/version/69207
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Why do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements
Author
  • G. Andrew Karoly
  • Rene Stulz
Physical Description
  • preprint
Notes
  • This study explores empirically the fundamental factors that affect cross-country stock return correlations. Using transactions data from 1988 to 1992, we construct overnight and intraday returns for a portfolio of Japanese stocks using their NYSE-traded American Depository Receipts (ADRs) and a matched-sample portfolio of U.S. stocks. We find that U.S. macroeconomic announcements, shocks to the Yen/​Dollar foreign exchange rate and Treasury bill returns and industry effects have no measurable influence on U.S. and Japanese return correlations. However, large shocks to broad-based market indices (Nikkei Stock Average and Standard and Poor's 500 Stock Index) positively impact both the magnitude and persistence of the return correlations.
  • RePEc:wop:ohsrfe:9603
Language
  • English
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