Stock Price Comovement and Location Effect Público

Abstract

I investigate stock return comovement based on locations over the period from 1988 to 2018. It is found that while the comovement effect is significant in the first half of the sample, it gradually declines to zero over years. Two possible factors, the Great Recession and market efficiency, that may have caused this gradual decline are also tested. I argue that the Great Recession is not the key reason that explains this decline in comovement effect. Furthermore, a qualitative study on asset values managed by operating hedge funds suggests that the growing trend for hedge funds increases the overall market efficiency, thus contributing to this decline.

Table of Contents

Introduction and Literature Review 1

Data Availability 3

Methodology and Results 8

Conclusion 11

Appendix 15

About this Honors Thesis

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School	Emory College
Department	Economics
Degree	B.A.
Submission	Honors Thesis
Language	English
Research Field	Economics, Finance
Palabra Clave	Stock prices Market efficiency Hedge funds Stock market comovement Firm locations the Great Recession
Committee Chair / Thesis Advisor	Yue, Zhanwei, Emory University
Committee Members	Chen, Le, Emory University Fossati, Davide, Emory University Zhu, Yifeng, Central University of Finance and Economics Zha, Tao, Emory University

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