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The significance of distance between stock exchanges undergoing the process of convergence: An analysis of selected world stock exchanges during the period of 2004-2012

Author

Listed:
  • Elzbieta Szulc

    (Nicolaus Copernicus University)

  • Dagna Wleklinska

    (Nicolaus Copernicus University)

  • Karolina Gorna

    (Nicolaus Copernicus University)

  • Joanna Gorna

    (Nicolaus Copernicus University)

Abstract

The paper concerns the convergence of selected world stock exchanges from the point of view of their development in the context of geographical and economic distance between them. It presents the methodological approach which points up the necessity of taking into account spatial and economic connections among stock markets in convergence analyses. The research includes 46 largest trading floors analyzed in the period of 2004-2012. The empirical data refer to six diagnostic variables acknowledged as the important determinants of the development of stock markets.

Suggested Citation

  • Elzbieta Szulc & Dagna Wleklinska & Karolina Gorna & Joanna Gorna, 2014. "The significance of distance between stock exchanges undergoing the process of convergence: An analysis of selected world stock exchanges during the period of 2004-2012," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 14, pages 125-144.
    • Handle: RePEc:cpn:umkdem:v:14:y:2014:p:125-144
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    References listed on IDEAS

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    1. Apergis, Nicholas & Christou, Christina & Miller, Stephen M., 2014. "Country and industry convergence of equity markets: International evidence from club convergence and clustering," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 36-58.
    2. Guglielmo Maria Caporale & Burcu Erdogan & Vladimir Kuzin, 2009. "Testing for Convergence in Stock Markets: A Non-linear Factor Approach," Discussion Papers of DIW Berlin 932, DIW Berlin, German Institute for Economic Research.
    3. Jan Mutl & Michael Pfaffermayr, 2011. "The Hausman test in a Cliff and Ord panel model," Econometrics Journal, Royal Economic Society, vol. 14, pages 48-76, February.
    4. Baltagi, Badi H. & Song, Seuck Heun & Koh, Won, 2003. "Testing panel data regression models with spatial error correlation," Journal of Econometrics, Elsevier, vol. 117(1), pages 123-150, November.
    5. Asgharian, Hossein & Hess, Wolfgang & Liu, Lu, 2013. "A spatial analysis of international stock market linkages," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4738-4754.
    6. Millo, Giovanni & Piras, Gianfranco, 2012. "splm: Spatial Panel Data Models in R," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 47(i01).
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    Cited by:

    1. Elzbieta Szulc & Karolina Gorna & Dagna Wleklinska, 2016. "The share of European economies in the process of convergence of long-term interest rates in the EU in the period of 2006–2016," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 16, pages 165-187.

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    More about this item

    Keywords

    stock exchanges; convergence; physical and economic distance; connectivity matrix; spatial panel models;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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