INTERNATIONAL STOCK MARKET COMOVEMENT AND NEWS

We explore how news comovement drives a portion of stock return comovement using the Thomson Reuters international business news database. We develop a measure of news comovement similar in design to a well‐known measure of stock return comovement and find that news helps explain country‐level stock...

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Bibliographic Details
Published in:The Journal of financial research 2014-12, Vol.37 (4), p.519-542
Main Authors: Höchstötter, Markus, Meyer, Stephan, Riordan, Ryan, Storkenmaier, Andreas
Format: Article
Language:English
Subjects:
Portfolio management
Portfolio performance
Securities markets
Stock prices
Studies
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Summary:We explore how news comovement drives a portion of stock return comovement using the Thomson Reuters international business news database. We develop a measure of news comovement similar in design to a well‐known measure of stock return comovement and find that news helps explain country‐level stock market comovement. Our results are novel in that we find that more news comovement is related to higher stock market comovement. The explanatory power of news comovement is found to be particularly strong in countries that have low total market capitalization, are more corrupt, and have lower accounting standards.
ISSN:0270-2592
1475-6803
DOI:10.1111/jfir.12046