Análisis de la dependencia espacial entre índices bursátiles

Carlos Acuña; Catalina Bolancé; Salvador Torra

doi:10.26360/2018_4

Authors

Carlos Acuña Universidad de Barcelona (España)
Catalina Bolancé Universidad de Barcelona (España)
Salvador Torra Universidad de Barcelona (España)

DOI:

https://doi.org/10.26360/2018_4

Keywords:

distance, similarity, spatial dependence, stock returns, financial markets

Abstract

We discuss the benefits of using neighbourhood relations between stock markets based on time criteria, such as the time differences between countries and the simultaneous opening hours between markets, when they are compared with the distance in kilometres of their capitals. The objective is to find clusters between neighbouring stock indices. We used the Moran I statistic in order to analyse the spatial dependencies between indices. The results showed that the criterion based on simultaneous opening hours provide more relationships between neighbourhood markets. In addition, particularly between European markets, neighbourly relations are more intense during the 2008 financial crisis.

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