Impact of the spatial structure on the returns of the stock indexes

Abstract

Nowadays, economies are integrated in commercial, financial, social, and cultural terms. Integration facilitates the transmission of impacts associated with economic events originated in one region to other regions, generating unexpected fluctuations at domestic level. Hence, investors may face higher uncertainty and unexpected effects on economic development may be observed. This research shows a significant spatial dependence in stock returns for the America‘s countries. Therefore, we demonstrate that there exist spatial externalities, which facilitate that changes affecting to stock returns of each country are spread through the continent, impacting also to the rest of American countries‘ returns.