On Stock Market Return Co-Movements: Macroeconomic News, Dispersion of Beliefs, and Contagion

摘要: We document and explain the return co-movement for U.S., U.K., Japanese equity markets period of 1985-1996. Our empirical results show importance imperfect signal-extraction in explaining market co-movement. In such a setting, domestic investors try to extract unobservable global factors from foreign returns use extracted information their subsequent trading. this learning environment, respond signal more strongly if is precise. addition, trading noise may also affect return-generating process markets. find contagion effect most pronounced extreme down