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INTERNATIONAL STOCK MARKET COMOVEMENT AND NEWS
Author(s) -
Höchstötter Markus,
Meyer Stephan,
Riordan Ryan,
Storkenmaier Andreas
Publication year - 2014
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/jfir.12046
Subject(s) - stock market , stock (firearms) , capitalization , market capitalization , economics , explanatory power , monetary economics , econometrics , financial economics , mechanical engineering , paleontology , linguistics , philosophy , epistemology , horse , engineering , biology
We explore how news comovement drives a portion of stock return comovement using the Thomson Reuters international business news database. We develop a measure of news comovement similar in design to a well‐known measure of stock return comovement and find that news helps explain country‐level stock market comovement. Our results are novel in that we find that more news comovement is related to higher stock market comovement. The explanatory power of news comovement is found to be particularly strong in countries that have low total market capitalization, are more corrupt, and have lower accounting standards.