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This paper investigates the spillover effect of lagged US daily returns on stock return predictability across 17 developed markets from January 1 st , 1972 through August 31 st , 2022. Using daily returns series, we find that lagged US returns is a superior predictor for future returns in international markets while including the lagged domestic returns and considering US negative or extreme returns. The predictive power of lagged US daily returns, nonetheless, substantially weakens during the recent COVID period. Our results imply that the degrees of stock return predictability and spillovers across markets are driven by the evolutionary market conditions, the channels of information transmission, and information leadership.

Spillover effects of the US stock market and the predictability of returns: international evidence based on daily data