Information-driven stock return comovements across countries

Abstract

This article analyses stock market comovements at a global level for 37 advanced and emerging countries in the last two decades. The article reports that international stock return comovements were greater in advanced countries than in emerging ones, but increased more rapidly in emerging countries than in advanced ones. The driving forces behind these comovements were country-specific fixed effects and time-varying factors over the period 2007–2015. These factors include not only the openness of international trade and finance but also institutional factors representing the development of information and communication technologies, the protection of property rights, and the transparency of information disclosure. These institutional factors worked in line with an information-driven comovement theory.