Sie befinden Sich nicht im Netzwerk der Universität Paderborn. Der Zugriff auf elektronische Ressourcen ist gegebenenfalls nur via VPN oder Shibboleth (DFN-AAI) möglich. mehr Informationen...
A spatial analysis of international stock market linkages
Ist Teil von
Journal of banking & finance, 2013-12, Vol.37 (12), p.4738-4754
Ort / Verlag
Amsterdam: Elsevier B.V
Erscheinungsjahr
2013
Link zum Volltext
Quelle
Elsevier ScienceDirect Journals Complete
Beschreibungen/Notizen
•We analyze the effect of integration measures on stock market co-movements.•We use spatial econometrics techniques.•Trade is the most important factor for market co-movements.•The importance of neighborhood measures decreases over time and during recessions.
We employ spatial econometrics techniques to investigate to what extent countries’ economic and geographical relations affect their stock market co-movements. Among the relations that we analyze, bilateral trade proves to be best suited to capture co-variations in returns. We find a strong effect of a unit shock to three regionally dominant countries, namely the US, the UK, and Japan, on other countries through the trade linkage. The degree of stock market dependence increases and the importance of proximity decreases over time and during recessions. We also analyze several regional crises and find a large impact of Thailand on its trade neighbors during the Asian crisis.