We employ spatial econometrics techniques to investigate to what extent countries' economic and geographical relations affect their stock market co-movements. Among the relations that we analyze, bilateral trade proves to be best suited to capture co-variations in returns. We find a strong...

We develop a structural multivariate spatial regression model allowing us to incorporate both inter- and intralocation effects among different variables. The existing multivariate spatial regression approaches are not able to simultaneously account for these effects. The currently available...

The home bias is defined as the tendency of the investors to invest a larger proportion of their wealth in domestic equities than what would be optimal based on the meanvariance principle. There are several explanations for this observed home bias, e.g., barriers to foreign investments and...

This paper analyses the ability of beta and other factors, like firm size and book-to-market, to explain cross-sectional variation in average stock returns on the Swedish stock market for the period 1980-1997. We use a bivariate GARCH(1,1) process to estimate time-varying betas for asset...