Spatial and economic distance influence on the European stock market connections changing in crisis 2007-2009

• Authors: Suchecka, Jadwiga , Łaszkiewicz, Edyta

Abstracts

EN

The influence of the spatial relation on the stock market is becoming more frequently the subject of a discussion. Efforts to pinpoint the relation between the dis- tance and the investors choices are relevant to both the intra- and intermarket connec- tions. With the latter one, spatial dependencies may function as a shock transmission channel, resulting with the contagion effect. The object of this paper is to present the results of the research on the influence of spatial and economic distance on the correlation of selected European stock markets during the 2007–2009 crisis period. In order to verify the hypothesis regarding the influ- ence of the spatial relations on the stock market correlation DCC GARCH model was used among with spatial analysis tools.

Keywords

EN

DCC GARCH; Euclidean distance; crisis period; stock market

• Publisher: Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
• Journal: Acta Universitatis Lodziensis. Folia Oeconomica
• Year: 2011
• Volume: 252

Dates

published

2011

Contributors

author

Suchecka, Jadwiga

author

Łaszkiewicz, Edyta

other

Uniwersytet Łódzki; Wydział Ekonomiczno-Socjologiczny; Instytut Gospodarki Przestrzennej

Identifiers

URI

http://hdl.handle.net/11089/634