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Stock return synchronicity, or comovement, measures to what extent the individual stock returns would comove with market returns. In empirical analyses, stock return synchronicity is typically measured by the R-square derived from the market model. According to the market efficiency theory, an individual firm's stock price reflect market-level, industry-level, and firm-specific information. King (1966) shows that stock prices covary with market and industry returns, but Roll (1988) finds that the market and industry level information can only explain a small part of the individual stock returns' movement in US market, with market model R2 around 20%~30%. Roll (1988) concludes that the residual movements could be explained either by private information or occasional frenzy unrelated to specific information. Following insights by Roll (1988), stock return synchronicity has become a hot topic of financial research. We review and summarize the existing literature from the following three aspects.

A Review of Stock Return Synchronicity