Stock Market Comovements and Industrial Structure
利用58个国家的月度股指数据，研究发现产业结构相似的国家之间股市收益率相关性更高，且该结果在控制多种因素后依然稳健。
We use monthly stock indices for 58 countries to construct pairwise correlations of returns and explain these correlations with risk‐adjusted differences in industrial structure across countries. We find that countries with similar industries exhibit higher stock market comovements. The results are robust to the inclusion of other regressors such as differences in income per capita, stock market capitalizations, measures of institutions, as well as various fixed time, country, and country‐pair effects. Our results are consistent with models where the impact of each industry‐specific shock is proportional to the share of this industry in the overall industrial output of the country.