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Asymmetries in stock price co-movements.

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Co-Movement Segmentation: Inter- and Intra-Industry Return Co-Movement

SSRN Electronic Journal, 2018
The literature has shown a substantial relation between stock return co-movement and macroeconomic variables. Our results contribute to the research by separating the stock return co-movement into intra- and inter-industry return co-movement and found that the predictive power comes mainly from the inter-industry return co-movement. We found that there
Ben Liu, Wen Xiao
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International Stock Price Co-movement [PDF]

Asian Economic Papers, 2013
Two possible causes of international stock price co-movement are examined: the existence of global common shocks and portfolio adjustments by international investors. Empirical analyses indicate that the former explains a significant part of the co-movement and the latter is unlikely to play an important role.
Kenjiro Hirayama, Yoshiro Tsutsui
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International co-movements of inflation, 1851–1913

Oxford Economic Papers, 2023
Abstract We study inflation in a group of 15 countries before and during the classical Gold Standard using annual data spanning 1851–1913. The degree of co-movements between domestic and international inflation depends on geographical remoteness and openness to trade.
Gerlach, Stefan, Stuart, Rebecca
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Liquidity Commonality and Return Co-Movement

SSRN Electronic Journal, 2005
Abstract We show that liquidity commonality is due to co-movements in supply and demand induced by cross-sectional correlation in order types (market and limit orders), while return commonality is caused by correlation in order flows (order direction and size).
Ian Domowitz, Oliver Hansch, Xiaoxin Wang   +2 more
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Volatility Co-Movement

SSRN Electronic Journal, 2005
I estimate a GARCH-based volatility factor model that incorporates market volatility and information from high-frequency data. I find that index and stock volatility co-move more after the stock becomes part of SP500. This effect is characteristic to higher frequencies (i.e. hourly) and it is beyond what is predicted by an increase in return comovement.
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Asymmetric business cycle co-movements

Applied Economics Letters, 2009
We investigate the presence of common cyclical features at different data points separated by a threshold variable. Our two-step procedure consists of first estimating the unknown threshold in a var or a vecm (tsay, 1998 tsay, r. S. 1998. Testing and modeling multivariate threshold models. Journal of the american statistical association, 93: 1188–202. [
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International Housing Markets Co-Movements

SSRN Electronic Journal, 2011
We examine house price co-movements within and cross four major economic blocks: North America, Europe, Oceania and the Far East. The purpose of this study is to establish: (1) Whether there was increased house price correlation within a given economic block or across different blocks in the past 10 years (perhaps as a result of capital market ...
Qin Xiao, Robert Van Order, Wai-Mun Chia
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What is Co-movement?

SSRN Electronic Journal, 2003
This paper proposes a definition of bivariate and multivariate co-movement and an associated measure that precisely reflects its definition. It is shown that co-movement as defined in this paper is a copula property. We employ a truly multivariate and dynamic analysis and analyze whether co-movements have increased through time, in crisis periods and ...
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