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Correlation of International Stock Markets Before and During the Subprime Crisis

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Author Info

  • Ioana Moldovan

    ()
    (PhD candidate, Academy of Economic Studies, Bucharest, Romania)

  • Claudia Medrega

    ()
    (PhD candidate, Academy of Economic Studies, Bucharest, Romania)

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    Abstract

    The recent financial crisis has spread to markets worldwide. The correlation of evolutions registered by international capital markets is one of the effects of globalization. The speed at which problems on the American financial markets extended globally, starting with 2007, has reminded that financial markets have the tendency to go through crisis periods simultaneously. The present paper proposes to analyze the correlation between international capital markets. To this end, we have considered it appropriate to run an econometric test to indicate whether connections between world capital markets are stronger during times of growth or during periods of crisis. Economic and financial integration has been shown to quickly spread negative effects as well, not just positive ones.

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    File URL: http://www.rejournal.eu/sites/rejournal.versatech.ro/files/articole/2011-06-01/2090/je40-moldovanmedrega.pdf
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    Bibliographic Info

    Article provided by Department of International Business and Economics from the Academy of Economic Studies Bucharest in its journal Romanian Economic Journal.

    Volume (Year): 14 (2011)
    Issue (Month): 40 (June)
    Pages: 173-193

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    Handle: RePEc:rej:journl:v:14:y:2011:i:40:p:173-193

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    Related research

    Keywords: stock markets; subprime crisis; contagion; correlation; volatility;

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    1. Markwat, T.D. & Kole, H.J.W.G. & van Dijk, D.J.C., 2008. "Contagion as Domino Effect in Global Stock Markets," ERIM Report Series Research in Management ERS-2008-071-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
    2. Mark Mink & Jochen Mierau, 2009. "Measuring Stock Market Contagion with an Application to the Sub-prime Crisis," DNB Working Papers 217, Netherlands Central Bank, Research Department.
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