Interdependence of Stock Markets Before and After the Global Financial Crisis of 2007

Boulis Ibrahim and Janusz Brzeszczynski

No 1305, CFI Discussion Papers from Centre for Finance and Investment, Heriot Watt University

Abstract: In this paper we analyse the evolution of interdependence and influence of major international stock markets (New York, London and Tokyo) before and after the Global Financial Crisis (GFC) of 2007. Using the framework of the Foreign Information Transmission (FIT) model of Ibrahim and Brzeszczynski (2009) we investigate first the direction and strength of simple meteor shower effects across those three markets and then focus our attention on other factors which may impact on the relations between the largest stock trading centres, namely: differentials in trading volume, differentials in stock price volatility and interest rate differentials. The results are robust to different models’ specifications and they clearly indicate that the role of the US market as the influencer of the stock price movements in other markets has weakened after the GFC in 2007 while the role of the other two trading centres in the UK and Japan has strengthened. Our findings are consistent with the explanation related to the shift in balance of economic powers between countries.

Keywords: stock markets interdependence; meteor shower effects; Global Financial Crisis (GFC); Foreign Information Transmission (FIT) model (search for similar items in EconPapers)
JEL-codes: C32 C51 F36 F65 G01 G15 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://cfi.hw.ac.uk/images/documents/DP%202013-05% ... ter%20the%20GFC1.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to cfi.hw.ac.uk:80 (No such host is known. )

Related works:
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:hwe:cfidps:1305

Access Statistics for this paper

More papers in CFI Discussion Papers from Centre for Finance and Investment, Heriot Watt University Contact information at EDIRC.
Bibliographic data for series maintained by Colin Miller ().