FINANCIAL CRISIS AND STOCK MARKET LINKAGES

Victor Manuel de Sousa Gabriel and Jose Ramos Manso

Revista Galega de Economía, 2014, vol. 23, issue 4, 133-148

Abstract: This paper investigates interdependencies and linkages between international stock markets in the short-run. Thus, twelve European and non-European markets were selected, and the period from 4. October 1999 to 30 June 2011 was chosen, which includes the Dot-Com crisis and the recent Global Financial Crisis. To investigate interdependence and dynamic linkages between stock markets, a vector autoregressive model, the concept of Granger causality and impulse-response functions were considered. We concluded that the global financial crisis contributes to the intensification of the interdependence between stock markets.

Keywords: Global Financial Crisis; Stock Markets; Co-Movements; Vector Autoregressive model; Granger Causality; Impulse-Response. (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:sdo:regaec:v:23:y:2014:i:4_12

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