The recent events since the onset of the subprime crisis in 2007 have put forward the central role of the financial market in developed economies and its close linkages with other markets, such as the sovereign one. The extreme (co)variations in the financial market are difficult to explain by the value of the fundamentals, and factors like investor sentiment, liquidity and simultaneous comovement are privileged. This thesis contributes in better understanding the role of these factors in explaining highly debated topics of international financial markets such as (i) the predictability of their returns, (ii) the commonality in liquidity, and (iii) several overlooked aspects in the modeling of market comovement.