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Spatial spillover around G20 stock markets and impact on the return: a spatial econometrics approach

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  • Weiping Zhang
  • Xintian Zhuang
  • Yanshuang Li

Abstract

This paper investigates the spatial return spillover among G20 financial market and the factors of return. To achieve this object, we define the new gravitational space weight matrix, and construct the spatial autoregressive panel model (SAR). The results show that: (i) the new gravitational space weight matrix is more advantageous in capturing the multidimensional spatial spillover effects among stock markets; (ii) government debt, inflation and macroeconomic performance are significantly positively correlated with stock returns, while the real interest rate and stock market volatility have a negative effect on stock returns.

Suggested Citation

  • Weiping Zhang & Xintian Zhuang & Yanshuang Li, 2019. "Spatial spillover around G20 stock markets and impact on the return: a spatial econometrics approach," Applied Economics Letters, Taylor & Francis Journals, vol. 26(21), pages 1811-1817, December.
    • Handle: RePEc:taf:apeclt:v:26:y:2019:i:21:p:1811-1817
    DOI: 10.1080/13504851.2019.1602703
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    Cited by:

    1. Tissaoui, Kais & Zaghdoudi, Taha, 2021. "Dynamic connectedness between the U.S. financial market and Euro-Asian financial markets: Testing transmission of uncertainty through spatial regressions models," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 481-492.
    2. Xiurong Chen & Aimin Hao & Yali Li, 2020. "The impact of financial contagion on real economy-An empirical research based on combination of complex network technology and spatial econometrics model," PLOS ONE, Public Library of Science, vol. 15(3), pages 1-20, March.
    3. Tzung Hsuen Khoo & Dharini Pathmanathan & Sophie Dabo-Niang, 2023. "Spatial Autocorrelation of Global Stock Exchanges Using Functional Areal Spatial Principal Component Analysis," Mathematics, MDPI, vol. 11(3), pages 1-24, January.
    4. Xu, Qiuhua & Yan, Haoyang & Zhao, Tianyu, 2022. "Contagion effect of systemic risk among industry sectors in China’s stock market," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).

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