Publicação
Financial crisis and stock market linkages
| Resumo: | This paper investigates interdependencies and linkages between international stock markets in the shortrun. 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. |
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| Autores principais: | Gabriel, Vítor |
| Outros Autores: | Manso, José |
| Assunto: | Global Financial Crisis Stock Markets Co-Movements Vector Autoregressive model Granger Causality Impulse-Response |
| Ano: | 2016 |
| País: | Portugal |
| Tipo de documento: | artigo |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Instituto Politécnico da Guarda |
| Idioma: | inglês |
| Origem: | Repositório Institucional do Instituto Politécnico da Guarda |
| Resumo: | This paper investigates interdependencies and linkages between international stock markets in the shortrun. 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. |
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