Search Results - subject:"residual correlation"

Measuring the effects of geographical distance on stock market correlation

Eckel, Stefanie; Löffler, Gunter; Maurer, Alina; … - 2009

Recent 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...

Persistent link: https://www.econbiz.de/10010263768

Measuring the effects of geographical distance on stock market correlation

Eckel, Stefanie; Löffler, Gunter; Maurer, Alina; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

, residual correlation, mark correlation function, geographical comovement, portfolio analysis JEL Classification: R12, G11, G14 … federal states we would expect no increase in residual correlation (0.030−0.043 = −0.013) despite their geographical proximity … nearby firms located in the same city, we find an increase in residual correlation of 0.038, significant at the 5 …

Persistent link: https://www.econbiz.de/10004991083

Measuring the effects of geographical distance on stock market correlation

Eckel, Stefanie Martina; Löffler, Gunter; Maurer, Alina; … - In: Journal of empirical finance 18 (2011) 2, pp. 237-247

Persistent link: https://www.econbiz.de/10009301123