CO-MOVEMENTS OF U.S. AND EUROPEAN STOCK MARKETS BEFORE AND AFTER THE 2008 GLOAL STOCK MARKET CRASH

Ilhan Meric, Lan Ma Nygren, BENTLEY Jerome T and McCALL Charles W
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Ilhan Meric: Rider University, Lawrenceville, New Jersey, USA
Lan Ma Nygren: Rider University, Lawrenceville, New Jersey, USA
BENTLEY Jerome T: Rider University, Lawrenceville, New Jersey, USA
McCALL Charles W: Rider University, Lawrenceville, New Jersey, USA

Studies in Business and Economics, 2015, vol. 10, issue 2, 83-98

Abstract: Empirical studies show that correlation between national stock markets increased and the benefits of global portfolio diversification decreased significantly after the global stock market crash of 1987. The 1987 and 2008 crashes are the two most important global stock market crashes since the 1929 Great depression. Although the effects of the 1987 crash on the co-movements of national stock markets have been investigated extensively, the effects of the 2008 crash have not been studied sufficiently. In this paper we study this issue with a research sample that includes the U.S stock market and twenty European stock markets. We find that correlation between the twenty-one stock markets increased and the benefits of portfolio diversification decreased significantly after the 2008 stock market crash.

Keywords: European stock markets; portfolio diversification; 2008 stock market crash (search for similar items in EconPapers)
Date: 2015
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