International Stock Market Comovements: What Happened during the Financial Crisis?

Roman Horvath and Petr Poldauf ()
Additional contact information
Petr Poldauf: University of St. Gallen

Global Economy Journal (GEJ), 2012, vol. 12, issue 1, 1-21

Abstract: We investigate the stock market comovements in Australia, Brazil, Canada, China, Germany, Hong Kong, Japan, Russia, South Africa, the UK, and the USA, both at the market and sectoral level in 2000-2010. Using multivariate GARCH models, our results suggest that the correlation among equity returns during the financial crisis (2008-2010) somewhat increased, suggesting that the crisis represented a common shock to all countries. The U.S. stock market is found to be the most correlated with the stock markets in Brazil, Canada and UK. The correlation of U.S. and Chinese stock market is essentially zero before the crisis; it becomes slightly positive during the crisis. The sectoral indices are less correlated than the market indices over the whole period, but, again, the correlations increase during the crisis.

Keywords: financial crisis; stock market comovements; GARCH (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (14)

Downloads: (external link)
https://www.worldscientific.com/doi/abs/10.1515/1524-5861.1788
Access to full text is restricted to subscribers

Related works:
Journal Article: International Stock Market Comovements: What Happened during the Financial Crisis? (2012)
Working Paper: International stock market comovements: what happened during the financial crisis? (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:gejxxx:v:12:y:2012:i:01:n:1524-5861.1788

Ordering information: This journal article can be ordered from

DOI: 10.1515/1524-5861.1788

Access Statistics for this article

Global Economy Journal (GEJ) is currently edited by Joseph Pelzman

More articles in Global Economy Journal (GEJ) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().