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Integration of Financial Markets in Post Global Financial Crises and Implications for British Financial Sector: Analysis Based on A Panel VAR Model

Muhammad Nasir () and Min Du
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Min Du: Leeds Beckett University

Journal of Quantitative Economics, 2018, vol. 16, issue 2, 363-388

Abstract: Abstract This study analyses the dynamics of integration among global financial markets in the context of Global Financial Crisis (2008) by employing a Panel Vector Autoregressive (VAR) model on the monthly data of nine countries and three markets from Jan 2003 to Oct 2015. It was found that there has been a shift in the association among the global financial markets since Global Financial Crisis (GFC). Moreover, the British financial sectors in Post- GFC world clearly showed a change in the association with the global financial sectors. Particularly, the emerging markets including China, Brazil and India showed a comparatively more significant impact on the UK financial sector implying the increased importance of the latter in the recent past. The German and USA financial sector also showed a change in its impact in the Post-GFC world. It showed that Germany and USA financial sectors have become competitive to the UK financial Sector as the surge in them lead to a relative response from the UK financial sector which could be associated with the portfolio adjustment.

Keywords: Financial markets; Financial integration; Global financial crises; Panel VAR model (search for similar items in EconPapers)
JEL-codes: G10 G15 F31 P45 (search for similar items in EconPapers)
Date: 2018
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