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Market frictions and the geographical location of global stock exchanges. Evidence from the S&P Global Index

Hudson, Robert; Gregoriou, Andros

Authors

Andros Gregoriou



Abstract

We examine the impact of trading costs on investor average holding periods for the S&P global 1200 index. We report overwhelming evidence that global equity indices cannot be pooled. When we differentiate between stock indices based on their geographical location, we discover that for companies listed in the USA, Europe, Canada and Australia, there are no market frictions enabling continuous high frequency trading. However, companies listed in Latin America and Asia face significant barriers to trading in the form of transaction costs. We ascertain that the geographical location of stock markets plays a vital role in achieving international portfolio diversification.

Journal Article Type Article
Journal Journal of Economic Studies
Print ISSN 0144-3585
Publisher Emerald
Peer Reviewed Peer Reviewed
APA6 Citation Hudson, R., & Gregoriou, A. (in press). Market frictions and the geographical location of global stock exchanges. Evidence from the S&P Global Index. Journal of Economic Studies, https://doi.org/10.1108/JES-03-2020-0091
DOI https://doi.org/10.1108/JES-03-2020-0091
Keywords Stock Market Liquidity; Geographical Location of Stock Exchanges; S&P 1200 Global Index.
Publisher URL https://www.emerald.com/insight/content/doi/10.1108/JES-03-2020-0091/full/html
Related Public URLs https://research.brighton.ac.uk/en/publications/market-frictions-and-the-geographical-location-of-global-stock-ex

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©2020 The authors. All rights reserved. No part of this publication may be reproduced without the written permission of the copyright holder





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