This paper extends the gravity model to financial markets by examining how distance and bilateral linkages influence stock market correlations between the United States and selected emerging economies. To this end, the Poisson Pseudo Maximum Likelihood (PPML) estimator is used to account for...

This paper considers the impact of global risk aversion and domestic macroeconomic factors on the dynamic conditional correlations between the South African stock, bond, and foreign exchange markets. Our first stage findings using the DCC-GARCH model show that correlations between the selected...