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The role of distance in equity market comovements

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thesis
posted on 28.03.2022, 19:35 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.

History

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.

Notes

Theoretical thesis. Bibliography: pages 67-76

Awarding Institution

Macquarie University

Degree Type

Thesis MRes

Degree

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

Department, Centre or School

Department of Applied Finance

Year of Award

2019

Principal Supervisor

Fan Yu

Additional Supervisor 1

Terry Pan

Rights

Copyright Vincent Michael McGrath 2019. Copyright disclaimer: http://mq.edu.au/library/copyright

Language

English

Extent

1 online resource (vi, 82 pages): diagrams, graphs, tables

Former Identifiers

mq:71877 http://hdl.handle.net/1959.14/1279005