FINANCIAL CRISIS AND STOCK MARKET LINKAGES

Autor:	VICTOR MANUEL DE SOUSA GABRIEL, JOSE RAMOS PIRES MANSO
Jazyk:	English<br />Spanish; Castilian<br />Galician<br />Portuguese
Rok vydání:	2015
Předmět:	Global Financial Crisis Stock Markets Co-Movements Vector Autoregressive Economic growth development planning HD72-88 Economic theory. Demography HB1-3840
Zdroj:	Revista Galega de Economía, Vol 23, Iss 4 (2015)
Druh dokumentu:	article
ISSN:	1132-2799 2255-5951
DOI:	10.15304/rge.23.4.2793
Popis:	This paper investigates interdependencies and linkages between international stock markets in the short-run. 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.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/64af82d09ae44847888382449a84483e Zobrazit plný text záznamu View record in DOAJ