01713cas a2200241 a 4500 AALejournalIMF015820 230101c9999 xx r poo 0 0eng d 5.00 USD 9781513509822 1018-5941 BD-DhAAL BD-DhAAL Ando, Sakai. International Financial Connection and Stock Return Comovement / Sakai Ando. Washington, D.C. : International Monetary Fund, 2019. 1 online resource (33 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students This paper studies whether bilateral international financial connection data help predict bilateral stock return comovement. It is shown that, when the United States is chosen as the benchmark, a larger U.S. portfolio investment asset position on the destination economy predicts a stronger stock return comovement between them. For large economies such as the United States and Germany, the portfolio investment position is also the best predictor among other connection variables. The paper discusses with a simple general equilibrium portfolio model that the empirical pattern is consistent with the behavior of index investors who trade in response to risk-on/risk-off shocks. Mode of access: Internet IMF Working Papers; Working Paper ; No. 2019/181 Full text available on IMF http://elibrary.imf.org/view/journals/001/2019/181/001.2019.issue-181-en.xml IMF e-Library