Why do markets move together? An investigation of U.S-Japan stock return comovements

Article Abstract:

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. (Reprinted by permission of the publisher.)

Securities and Commodity Exchanges, Security and commodity exchanges, Securities Exchanges, Research, United States, Japan, International aspects, Stock-exchange, Stock exchanges, Exchanges, Securities, Return on investment, International finance, Rate of return

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Price Pressure around Mergers

Article Abstract:

Research on professional investor behavior shows short-lived price pressure around mergers that are caused by uninformed changes in excess demand. It is posited that a downward bias is present in previous merger wealth effects estimates.

Methods, Economic aspects, Acquisitions and mergers, Behavior, Comparative analysis, Investors, Stock price forecasting

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