International stock market comovement and news

International stock market comovement and news

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Article ID: iaor201523441
Volume: 37
Issue: 4
Start Page Number: 519
End Page Number: 542
Publication Date: Dec 2014
Journal: Journal of Financial Research
Authors: , , ,
Keywords: investment, information
Abstract:

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.

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