This study explores empirically the fundamental factors that affect cross-country stock return correlations. Using transactions data from 1988 to 1992, we construct overnight and intraday returns for a portfolio of Japanese stocks using their NYSE-traded American Depository Receipts (ADRs) and a...

This study explores empirically the fundamental factors that influence intraday and overnight cross-country stock return covariances. Using transactions data from the Institute for the Study of Securities Markets (ISSM) from 1988 to 1992, we construct overnight and intraday returns for a...