Correlation of International Stock Markets Before and During the Subprime Crisis

Ioana Moldovan () and Claudia Medrega ()
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Ioana Moldovan: PhD candidate, Academy of Economic Studies, Bucharest, Romania
Claudia Medrega: PhD candidate, Academy of Economic Studies, Bucharest, Romania

Romanian Economic Journal, 2011, vol. 14, issue 40, 173-193

Abstract: The recent financial crisis has spread to markets worldwide. The correlation of evolutions registered by international capital markets is one of the effects of globalization. The speed at which problems on the American financial markets extended globally, starting with 2007, has reminded that financial markets have the tendency to go through crisis periods simultaneously. The present paper proposes to analyze the correlation between international capital markets. To this end, we have considered it appropriate to run an econometric test to indicate whether connections between world capital markets are stronger during times of growth or during periods of crisis. Economic and financial integration has been shown to quickly spread negative effects as well, not just positive ones.

Keywords: stock markets; subprime crisis; contagion; correlation; volatility (search for similar items in EconPapers)
JEL-codes: F36 G01 G15 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:rej:journl:v:14:y:2011:i:40:p:173-193

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