Excess stock return comovements and the role of investor sentiment

B Frijns, WFC Verschoor, RCJ Zwinkels*

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review


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.
Original languageEnglish
Pages (from-to)74-87
Number of pages14
JournalJournal of International Financial Markets, Institutions & Money
Publication statusPublished - Jul 2017
Externally publishedYes


  • Excess comovement
  • International equity markets
  • Investor sentiment


Dive into the research topics of 'Excess stock return comovements and the role of investor sentiment'. Together they form a unique fingerprint.

Cite this