Stock market correlation and geographical distance: does the degree of economic integration matter?
This paper investigates the effects of geographical distance on stock market correlations between countries within economic blocs. Specifically, this paper examines whether the degree of economic integration influences the nexus between geographical distance and stock market correlation. As the stud...
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ftmpra:oai::116476 2023-05-15T17:32:26+02:00 Stock market correlation and geographical distance: does the degree of economic integration matter? Bonga-Bonga, Lumengo Manguzvane, Mathias Mandla 2023 application/pdf https://mpra.ub.uni-muenchen.de/116476/ https://mpra.ub.uni-muenchen.de/116476/1/MPRA_paper_116476.pdf en eng https://mpra.ub.uni-muenchen.de/116476/1/MPRA_paper_116476.pdf Bonga-Bonga, Lumengo and Manguzvane, Mathias Mandla (2023): Stock market correlation and geographical distance: does the degree of economic integration matter? C13 - Estimation: General F38 - International Financial Policy: Financial Transactions Tax Capital Controls G1 - General Financial Markets MPRA Paper NonPeerReviewed 2023 ftmpra 2023-04-09T05:03:08Z This paper investigates the effects of geographical distance on stock market correlations between countries within economic blocs. Specifically, this paper examines whether the degree of economic integration influences the nexus between geographical distance and stock market correlation. As the study compares two economic blocs, the European Union (EU) and the North Atlantic Free Trade Area (NAFTA), it finds that geographical distance negatively affects stock market correlations in the two economic blocs, but that effect is less significant for economic blocs with advanced economic integration. Contrary to past studies, this paper postulates that the negative impact of geographical distance on stock market correlation is a result of portfolio reallocation by foreign investors seeking high yields and safe havens in the local stock market when taking advantage of possible capital market liberalization. Report North Atlantic Munich Personal RePEc Archive (MPRA - Ludwig-Maximilians-University Munich) |
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Munich Personal RePEc Archive (MPRA - Ludwig-Maximilians-University Munich) |
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ftmpra |
language |
English |
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C13 - Estimation: General F38 - International Financial Policy: Financial Transactions Tax Capital Controls G1 - General Financial Markets |
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C13 - Estimation: General F38 - International Financial Policy: Financial Transactions Tax Capital Controls G1 - General Financial Markets Bonga-Bonga, Lumengo Manguzvane, Mathias Mandla Stock market correlation and geographical distance: does the degree of economic integration matter? |
topic_facet |
C13 - Estimation: General F38 - International Financial Policy: Financial Transactions Tax Capital Controls G1 - General Financial Markets |
description |
This paper investigates the effects of geographical distance on stock market correlations between countries within economic blocs. Specifically, this paper examines whether the degree of economic integration influences the nexus between geographical distance and stock market correlation. As the study compares two economic blocs, the European Union (EU) and the North Atlantic Free Trade Area (NAFTA), it finds that geographical distance negatively affects stock market correlations in the two economic blocs, but that effect is less significant for economic blocs with advanced economic integration. Contrary to past studies, this paper postulates that the negative impact of geographical distance on stock market correlation is a result of portfolio reallocation by foreign investors seeking high yields and safe havens in the local stock market when taking advantage of possible capital market liberalization. |
format |
Report |
author |
Bonga-Bonga, Lumengo Manguzvane, Mathias Mandla |
author_facet |
Bonga-Bonga, Lumengo Manguzvane, Mathias Mandla |
author_sort |
Bonga-Bonga, Lumengo |
title |
Stock market correlation and geographical distance: does the degree of economic integration matter? |
title_short |
Stock market correlation and geographical distance: does the degree of economic integration matter? |
title_full |
Stock market correlation and geographical distance: does the degree of economic integration matter? |
title_fullStr |
Stock market correlation and geographical distance: does the degree of economic integration matter? |
title_full_unstemmed |
Stock market correlation and geographical distance: does the degree of economic integration matter? |
title_sort |
stock market correlation and geographical distance: does the degree of economic integration matter? |
publishDate |
2023 |
url |
https://mpra.ub.uni-muenchen.de/116476/ https://mpra.ub.uni-muenchen.de/116476/1/MPRA_paper_116476.pdf |
genre |
North Atlantic |
genre_facet |
North Atlantic |
op_relation |
https://mpra.ub.uni-muenchen.de/116476/1/MPRA_paper_116476.pdf Bonga-Bonga, Lumengo and Manguzvane, Mathias Mandla (2023): Stock market correlation and geographical distance: does the degree of economic integration matter? |
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1766130565233246208 |