Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements
利用1988至1992年交易数据，研究美国宏观经济公告、汇率冲击等因素对美日股票收益相关性的影响，发现只有大盘指数的大幅冲击会显著增强并延长联动性。
This article explores 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.