Spatial Linkages in International Financial Markets
Spatial dependency has been broadly studied in several research areas, such as environmental criminology, economic geography, environmental sciences, and urban economics. However, it has been essentially overlooked in other subfields of economics and in the field of finance as a whole. A key element at stake is the definition of contiguity. In the context of financial markets, defining a metric distance is not a simple matter. In this article, we explore the notion of spatial dependency in a panel of 126 Latin American firms from Brazil, Chile, and Mexico over the period 1997-2006. Firstly, we formulate a spatial version of the capital asset pricing model (S-CAPM), which accounts for alternative measures of distance between firms, such as market capitalization, the market-to-book, enterprise value-to-EBITDA, and the debt ratios. Secondly, we analyze the potential existence of spatial linkages in investment and dividend decisions. We conclude that there may be contemporaneous linkages in firms’ decisions of such ratios, which may be indicative of some strategic behavior.
|Date of creation:||29 Nov 2007|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: 00 353 1 896 3888
Fax: 00 353 1 896 3939
Web page: http://www.tcd.ie/iiis/
More information through EDIRC
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.:
- Aivazian, Varouj A. & Ge, Ying & Qiu, Jiaping, 2005. "The impact of leverage on firm investment: Canadian evidence," Journal of Corporate Finance, Elsevier, vol. 11(1-2), pages 277-291, March.
- Varouj A. Aivazian & Ying Ge & Jiaping Qiu, 2005. "Debt Maturity Structure and Firm Investment," Financial Management, Financial Management Association, vol. 34(4), Winter.
- Oscar Villar & Esther Vayá, 2005. "Financial Contagion between Economies - an Exploratory Spatial Analysis," ERSA conference papers ersa05p574, European Regional Science Association.
- Stephen C. Vogt, 1994. "The Cash Flow/investment Relationship: Evidence from U.S. Manufacturing Firms," Financial Management, Financial Management Association, vol. 23(2), Summer.
When requesting a correction, please mention this item's handle: RePEc:iis:dispap:iiisdp234. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Colette Keleher)
If references are entirely missing, you can add them using this form.