Time-series and cross-sectional excess comovement in stock indexes

This paper is an empirical investigation of the excess comovement among 82 industry indexes in the U.S. stock market between January 5, 1976 and December 31, 2001. We define excess comovement as the covariation between two assets beyond what can be explained by fundamental factors. In our analysis,...

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Veröffentlicht in:	Journal of empirical finance 2008-06, Vol.15 (3), p.481-502
Hauptverfasser:	Kallberg, Jarl, Pasquariello, Paolo
Format:	Artikel
Sprache:	eng
Schlagworte:	Contagion Correlation Economic analysis Excess comovement Stock exchange Time series U.S.A Volatility
Online-Zugang:	Volltext
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