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Among the relations that we analyze, bilateral trade proves to be best suited to capture co-variations in returns. We find a strong effect of a unit shock to three regionally dominant countries, namely the US, the UK, and Japan, on other countries through the trade linkage.

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The degree of stock market dependence increases and the importance of proximity decreases over time and during recessions. We also analyze several regional crises and find a large impact of Thailand on its trade neighbors during the Asian crisis.

Financial and economic integration ; Stock market co-movements ; Spatial econometrics ; Spillover and feedback effects search for similar items in EconPapers JEL-codes: C23 G15 search for similar items in EconPapers Date: View references in EconPapers View complete reference list from CitEc Citations View citations in EconPapers 15 Track citations by RSS feed Downloads: A spatial analysis of international stock market linkages This item may be available elsewhere in EconPapers: Search for items with the same title.

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International Financial Crises

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