Correlation of International Stock Markets Before and During the Subprime Crisis
AbstractThe 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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Bibliographic InfoArticle 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)
stock markets; subprime crisis; contagion; correlation; volatility;
Find related papers by JEL classification:
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- G01 - Financial Economics - - General - - - Financial Crises
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Mark Mink & Jochen Mierau, 2009.
"Measuring Stock Market Contagion with an Application to the Sub-prime Crisis,"
DNB Working Papers
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- Mierau, Jochen O. & Mink, Mark, 2013. "Are stock market crises contagious? The role of crisis definitions," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4765-4776.
- Markwat, Thijs & Kole, Erik & van Dijk, Dick, 2009.
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