This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Explaining Stock Market Correlation: A Gravity Model Approach

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Flavin, Thomas J
Hurley, Margaret J
Rousseau, Fabrice

Additional information is available for the following registered author(s):

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. Copyright 2002 by Blackwell Publishers Ltd and The Victoria University of Manchester

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.blackwell-synergy.com/servlet/useragent?func=synergy&synergyAction=showTOC&journalCode=manc&volume=70&issue=0&year=2002&part=null
File Format: text/html
File Function: link to full text
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by University of Manchester in its journal Manchester School.

Volume (Year): 70 (2002)
Issue (Month): 0 (Supplement)
Pages: 87-106
Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Handle: RePEc:bla:manchs:v:70:y:2002:i:0:p:87-106

Contact details of provider:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=1463-6786

Order Information:
Web: http://www.blackwellpublishing.com/subs.asp?ref=1463-6786

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Simonetta Rosati & Stefania Secola, 2005. "Explaining cross-border large-value payment flows - evidence from TARGET and EURO 1 data," Working Paper Series 443, European Central Bank. [Downloadable!]
  2. Thomas Flavin, 2004. "The effect of the Euro on country versus industry portfolio diversification," Economics, Finance and Accounting Department Working Paper Series n1411004, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]
    Other versions:
  3. E.Panopoulou & T. Pantelidis, 2005. "Integration at a cost: Evidence from volatility impulse response functions," Economics, Finance and Accounting Department Working Paper Series n1540305, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]
  4. Nicolas Coeurdacier & Stéphane Guibaud, 2005. "International equity holdings and stock returns correlations: Does Diversification Matter At All for Portfolio Choice?," PSE Working Papers 2005-23, PSE (Ecole normale supérieure). [Downloadable!]
Statistics
Access and download statistics

Did you know? You too can volunteer for RePEc, for example by encouraging others to use our services.

This page was last updated on 2008-8-11.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.