期刊
JOURNAL OF BANKING & FINANCE
卷 37, 期 12, 页码 4738-4754出版社
ELSEVIER
DOI: 10.1016/j.jbankfin.2013.08.015
关键词
Financial and economic integration; Stock market co-movements; Spatial econometrics; Spillover and feedback effects
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. (C) 2013 Elsevier B.V. All rights reserved.
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