Show simple item record

2009-04-24Buch DOI: 10.18452/4190
Measuring the effects of geographical distance on stock market correlation
dc.contributor.authorEckel, Stefanie
dc.contributor.authorLöffler, Gunter
dc.contributor.authorMaurer, Alina
dc.contributor.authorSchmidt, Volker
dc.date.accessioned2017-06-15T23:55:21Z
dc.date.available2017-06-15T23:55:21Z
dc.date.created2009-04-30
dc.date.issued2009-04-24
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4842
dc.description.abstractRecent studies suggest that the correlation of stock returns increases with decreasing geographical distance. However, there is some debate on the appropriate methodology for measuring the effects of distance on correlation. We modify a regression approach suggested in the literature and complement it with an approach from spatial statistics, the mark correlation function. For the stocks contained in the S&P 500 that we examine, both approaches lead to similar results: correlation increases with decreasing distance. Contrary to previous studies, however, we find that differences in distance do not matter much once the firms’ headquarters are more than 40 miles apart, or separated through a federal border. Finally, we show through simulations that distance can significantly affect portfolio risk. Investors wishing to exploit local information should be aware that local portfolios are relatively risky.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectstock returnseng
dc.subjectresidual correlationeng
dc.subjectmark correlation functioneng
dc.subjectgeographical comovementeng
dc.subjectportfolio analysiseng
dc.subject.ddc330 Wirtschaft
dc.titleMeasuring the effects of geographical distance on stock market correlation
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10097581
dc.identifier.doihttp://dx.doi.org/10.18452/4190
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages27
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2009
local.edoc.container-issue25
local.edoc.container-year2009
local.edoc.container-erstkatid2195055-6

Show simple item record