Flavin, Thomas and Hurley, Margaret and Rousseau, Fabrice
(2002)
Explaining Stock Market Correlation:
A Gravity Model Approach.
Working Paper.
UNSPECIFIED.
(Unpublished)
Abstract
A gravity model, frequently used to explain trade patterns, is used to explain stock market
correlations. The main result of the trade literature is that geography matters for goods
markets. Physical location and trading costs should be less of an issue in asset markets.
However we find that geographical variables still matter when examining equity market
linkages. In particular, the number of overlapping opening hours and sharing a common
border tends to increase cross-country stock market correlation. These results may stem
from asymmetrical information and investor sentiment, lending some empirical support
for these explanations of the international diversification puzzle.
| Item Type: |
Monograph
(Working Paper)
|
| Academic Unit: |
Faculty of Social Sciences > Economics, Finance and Accounting |
| Item ID: |
10130 |
| Depositing User: |
Thomas Flavin
|
| Date Deposited: |
22 Oct 2018 16:01 |
| URI: |
|
| Use Licence: |
This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available
here |
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