We analyze global equity market co-movement during the last 25 years using a dynamic spatial model. Based on a generalized autoregressive score model, we analyze the co-movement among global, European, American, and Asian equity markets during various crises including the Asian, the financial,...

The trading of securities on multiple markets raises the question of each market's share in the discovery of the informationally efficient price. We exploit salient distributional features of multivariate financial price processes to uniquely determine these contributions. Thereby we resolve the...