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<p>Understanding the drivers of market integration has become an increasingly interesting topic because of the almost consecutive international crises since the 1997 Asian financial crisis. However, previous studies have thus far failed to examine the drivers of the dependence among stock markets during different economic phases. This study aims to investigate the drivers of financial contagion during crisis and non-crisis periods. We couple the spatial Durbin model with panel regression models to test the contribution of a variety of bilateral variables in explaining the dependence among the G10 and BRICS markets during periods of turmoil. Our empirical analysis reveals several results. First, we highlight the importance of considering spatial linkages when modelling international stock market co-movements. Second, we find that bilateral dependence across financial markets is explained by economic, financial, geographical, social, and historical linkages. Third, we show that investor behaviour is a driver of the pure contagion effects in certain countries. These results are helpful for investors and hedgers looking to diversify their portfolios internationally.</p>

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Exploring the dynamics of international stock market linkages during crisis periods: evidence from spatial analysis

  • 期刊论文

  • 发表日期：

    2026年1月8日

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  • Zied Ftiti,
  • Toan Luu Duc Huynh,
  • Waël Louhichi,
  • Wafa Miled

摘要

Understanding the drivers of market integration has become an increasingly interesting topic because of the almost consecutive international crises since the 1997 Asian financial crisis. However, previous studies have thus far failed to examine the drivers of the dependence among stock markets during different economic phases. This study aims to investigate the drivers of financial contagion during crisis and non-crisis periods. We couple the spatial Durbin model with panel regression models to test the contribution of a variety of bilateral variables in explaining the dependence among the G10 and BRICS markets during periods of turmoil. Our empirical analysis reveals several results. First, we highlight the importance of considering spatial linkages when modelling international stock market co-movements. Second, we find that bilateral dependence across financial markets is explained by economic, financial, geographical, social, and historical linkages. Third, we show that investor behaviour is a driver of the pure contagion effects in certain countries. These results are helpful for investors and hedgers looking to diversify their portfolios internationally.