Motivated by these issues, we study the comovements between the returns on country-industry portfolios and country-style portfolios for 23 countries, 26 industries, and nine styles during 1980–2005. During this period, markets are likely to have become more integrated at the world level through increased capital and trade integration. Also, a number of regional developments have likely integrated stockmarkets at a regional level. These developments include the North American Free Trade Agreement (NAFTA), the emergence of the euro, and increasing economic and financial integration within the European Union. To test whether these developments have led to permanent changes in stock return comovements, we rely on the trend tests of Vogelsang.
