Stock market synchronization and institutional distance

Nian-zhi Guo and Anthony H. Tu

Finance Research Letters, 2021, vol. 42, issue C

Abstract: Our primary aim in this study is to examine the relationship that exists between stock market synchronization and institutional distance. We examine the ‘liability of foreignness’ (LOF) hypothesis and fivedifferent institutional distance conceptualizations (economic, financial, political, demographic and global connectedness) proposed by Berry, Guillén and Zhou (2010). The resultsreveal thatbetween 2003 and 2016, all of these institutional distances had significant impacts on stock market synchronization, with economic distance having a positive influence (thereby rejecting the LOF hypothesis), whilst the other four institutional distances were all found to have negative influences (thereby providing support for the LOF hypothesis).

Keywords: Stock market synchronization; Institutional distance; Liability of foreignness (search for similar items in EconPapers)
JEL-codes: G15 G18 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:42:y:2021:i:c:s1544612321000155

DOI: 10.1016/j.frl.2021.101934

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