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Erscheinungsjahr: 
2008
Schriftenreihe/Nr.: 
ECB Working Paper No. 931
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
We examine international stock return comovements using country-industry and country-style portfolios as the base portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston- ouwenhorst (1994) model. We then establish the following stylized facts regarding stock return comovements. First, we do not find evidence for an upward trend in return correlations, except for the European stock markets. Second, the increasing importance of industry factors relative to country factors was a short-lived, temporary phenomenon.
Schlagwörter: 
APT model
Comovements
correlation dynamics
Factor models
global market integration
industry country debate
international diversification
JEL: 
C52
G11
G12
Dokumentart: 
Working Paper

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