Stock Price Comovement and Location Effect Pubblico

Zhu, Sichen (Spring 2020)

Permanent URL: https://etd.library.emory.edu/concern/etds/1831ck98t?locale=it
Published

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

Rights statement
  • Permission granted by the author to include this thesis or dissertation in this repository. All rights reserved by the author. Please contact the author for information regarding the reproduction and use of this thesis or dissertation.
School
Department
Degree
Submission
Language
  • English
Research Field
Parola chiave
Committee Chair / Thesis Advisor
Committee Members
Ultima modifica

Primary PDF

Supplemental Files