Statistiska institutionen

Ekonomihögskolan vid Lunds universitet

A spatial analysis of international stock market linkages


Lu Liu / Department of Economics / Lund University

We employ spatial econometrics techniques to investigate to what extent countries’ economic and geographical relations affect their stock market co-movements. We propose an econometric model that is particularly suitable for financial data, where common time trends prevail. In general, among the relations that we analyze, bilateral trade and exchange rate stability prove to be best suited to capture return co-variations. An analysis of three regionally dominant countries shows that bilateral trade is the most important relation regarding the transmission of shocks from the US and Japan to other countries, whereas the UK affects mostly its geographical neighbors.


Tid: 13 februari 2013 kl. 13.15-14.00

Plats: Holger Crafoords Ekonomicentrum, seminarierum EC1:369