International stock market comovements: what happened during the financial crisis?

Roman Horvath and Petr Poldauf

MPRA Paper from University Library of Munich, Germany

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 esentially 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)
JEL-codes: C22 C32 G13 (search for similar items in EconPapers)
Date: 2011-12-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/35317/1/MPRA_paper_35317.pdf original version (application/pdf)

Related works:
Journal Article: International Stock Market Comovements: What Happened during the Financial Crisis? (2012)
Journal Article: International Stock Market Comovements: What Happened during the Financial Crisis? (2012)
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:pra:mprapa:35317

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().