Macquarie University
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The role of distance in equity market comovements

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posted on 2022-03-28, 19:35 authored by Vincent Michael McGrath
The benefits of international diversification are well known; however, these benefits rely on low international correlations. This paper examines how distance influences equity market correlations. Prior research has indicated that geographic and cultural distance inhibit comovements. We expand the concept of distance to include political, demographic and governance distance. The results of this paper indicate that distance is significant in equity market comovements. We find that political and demographic distance reduce comovements, and these results are robust to using both return and volatility comovements. We also find that governance distance reduces equity market return correlations; however, these results are not robust to using volatility correlations -- abstract.


Table of Contents

Chapter 1: Introduction -- Chapter 2: Literature review and hypotheses development -- Chapter 3: Methodology -- Chapter 4: Results -- Chapter 5: Discussion -- Chapter 6: Conclusion -- References -- Appendix.


Theoretical thesis. Bibliography: pages 67-76

Awarding Institution

Macquarie University

Degree Type

Thesis MRes


MRes, Macquarie University, Macquarie Business School, Department of Applied Finance

Department, Centre or School

Department of Applied Finance

Year of Award


Principal Supervisor

Fan Yu

Additional Supervisor 1

Terry Pan


Copyright Vincent Michael McGrath 2019. Copyright disclaimer:




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