The DOI matches its Crossref record; 30 of the 30 references it cites were found in a registry or an index.
International Stock Return Comovements
Open accessAbstract
We examine international stock return comovements using country‐industry and country‐style portfolios as the base portfolios. We first establish that parsimonious risk‐based factor models capture the data covariance structure better than the popular Heston–Rouwenhorst (1994) model. We then establish the following stylized facts regarding stock return comovements. First, there is no evidence for an upward trend in return correlations, except for the European stock markets. Second, the increasing importance of industry factors relative to country factors was a short‐lived phenomenon. Third, large growth stocks are more correlated across countries than are small value stocks, and the difference has increased over time.
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
Newey, W. K., & West, K. D. (1987) · Econometrica · doi:10.2307/1913610 · Cited by 16,936
Distribution of the Estimators for Autoregressive Time Series With a Unit Root
Dickey, D. A., & Fuller, W. A. (1979) · Journal of the American Statistical Association · doi:10.2307/2286348 · Cited by 9,106
Journal of the American Statistical Association
Koehler, A. B. (1995) · International Journal of Forecasting · doi:10.1016/0169-2070(95)90067-5 · Cited by 5,337
No Contagion, Only Interdependence: Measuring Stock Market Comovements
Forbes, K. J., & Rigobon, R. (2002) · The Journal of Finance · doi:10.1111/0022-1082.00494 · Cited by 4,615
Why Does Stock Market Volatility Change Over Time?
SCHWERT, G. W. (1989) · The Journal of Finance · doi:10.1111/j.1540-6261.1989.tb02647.x · Cited by 3,427
A General Approach to Confirmatory Maximum Likelihood Factor Analysis
Jöreskog, K. G. (1969) · Psychometrika · doi:10.1007/bf02289343 · Cited by 2,489
Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
Campbell, J. Y., Lettau, M., Malkiel, B. G., & Xu, Y. (2001) · The Journal of Finance · doi:10.1111/0022-1082.00318 · Cited by 2,415
Value versus Growth: The International Evidence
Fama, E. F., & French, K. R. (1998) · The Journal of Finance · doi:10.1111/0022-1082.00080 · Cited by 2,232
Time‐Varying World Market Integration
BEKAERT, G., & HARVEY, C. R. (1995) · The Journal of Finance · doi:10.1111/j.1540-6261.1995.tb04790.x · Cited by 2,049
Self-citation
Cited by
The Pre‐FOMC Announcement Drift
LUCCA, D. O., & MOENCH, E. (2015) · The Journal of Finance · doi:10.1111/jofi.12196 · Cited by 624
Bekaert, G., Harvey, C. R., Lundblad, C. T., & Siegel, S. (2011) · Review of Financial Studies · doi:10.1093/rfs/hhr082 · Cited by 394
Self-citationChristou, C., Cunado, J., Gupta, R., & Hassapis, C. (2017) · Journal of Multinational Financial Management · doi:10.1016/j.mulfin.2017.03.001 · Cited by 267
Metadata
- Authors
- BEKAERT, G., HODRICK, R. J., & ZHANG, X.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2009-11-25
- Volume
- 64
- Issue
- 6
- Pages
- 2591-2626
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2890231723
- Cited by
- 855
- References
- 30
- FWCI
- 19.31
- Type
- journal article
- Language
- en
- Open access
- green
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
- This page
- CoChat. (2026). Citation check: International Stock Return Comovements. https://app.cochat.ai/papers/10.1111/j.1540-6261.2009.01512.x
- The paper
- BEKAERT, G., HODRICK, R. J., & ZHANG, X. (2009). International Stock Return Comovements. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.2009.01512.x
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
