TY - JOUR
T1 - Excess stock return comovement and the role of investor sentiment
AU - Frijns, Bart
AU - Verschoor, W.F.C.
AU - Zwinkels, R.C.J.
PY - 2017/7
Y1 - 2017/7
N2 - This paper investigates whether investor sentiment can explain stock return comovements. Our findings demonstrate that since the 1960s, there has been a clear and rapid increase in correlations between international equity markets. Decomposing the equity returns into fundamental and non-fundamental components reveals that the increased correlation is driven by the non-fundamental part. We find that stock return comovements are mainly driven by investor sentiment, which explains the level, variance, and covariance of the non-fundamental component of returns.
AB - This paper investigates whether investor sentiment can explain stock return comovements. Our findings demonstrate that since the 1960s, there has been a clear and rapid increase in correlations between international equity markets. Decomposing the equity returns into fundamental and non-fundamental components reveals that the increased correlation is driven by the non-fundamental part. We find that stock return comovements are mainly driven by investor sentiment, which explains the level, variance, and covariance of the non-fundamental component of returns.
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U2 - 10.1016/j.intfin.2017.02.005
DO - 10.1016/j.intfin.2017.02.005
M3 - Article
VL - 49
SP - 74
EP - 87
JO - Journal of International Financial Markets, Institutions & Money
JF - Journal of International Financial Markets, Institutions & Money
SN - 1042-4431
IS - July
ER -