A spatial analysis of international stock market linkages

Hossein Asgharian, Wolfgang Hess and Lu Liu

Journal of Banking & Finance, 2013, vol. 37, issue 12, 4738-4754

Abstract: 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.

Keywords: Financial and economic integration; Stock market co-movements; Spatial econometrics; Spillover and feedback effects (search for similar items in EconPapers)
JEL-codes: C23 G15 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (83)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:37:y:2013:i:12:p:4738-4754

DOI: 10.1016/j.jbankfin.2013.08.015

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