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Co-Movements Of U.S. And European Stock Markets Before And After The 2008 Gloal Stock Market Crash

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Listed:
  • MERIC Ilhan

    (Rider University, Lawrenceville, New Jersey, USA)

  • NYGREN Lan Ma

    (Rider University, Lawrenceville, New Jersey, USA)

  • BENTLEY Jerome T

    (Rider University, Lawrenceville, New Jersey, USA)

  • McCALL Charles W

    (Rider University, Lawrenceville, New Jersey, USA)

Abstract

Empirical studies show that correlation between national stock markets increased and the benefits of global portfolio diversification decreased significantly after the global stock market crash of 1987. The 1987 and 2008 crashes are the two most important global stock market crashes since the 1929 Great depression. Although the effects of the 1987 crash on the co-movements of national stock markets have been investigated extensively, the effects of the 2008 crash have not been studied sufficiently. In this paper we study this issue with a research sample that includes the U.S stock market and twenty European stock markets. We find that correlation between the twenty-one stock markets increased and the benefits of portfolio diversification decreased significantly after the 2008 stock market crash.

Suggested Citation

  • MERIC Ilhan & NYGREN Lan Ma & BENTLEY Jerome T & McCALL Charles W, 2015. "Co-Movements Of U.S. And European Stock Markets Before And After The 2008 Gloal Stock Market Crash," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 10(2), pages 83-98, August.
    • Handle: RePEc:blg:journl:v:10:y:2015:i:2:p:83-98
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    References listed on IDEAS

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