International stock market comovements: what happened during the financial crisis?
AbstractWe investigate the stock market comovements in Australia, Brazil, Canada, China, Germany, Hong Kong, Japan, Russia, South Africa, the UK, and the USA, both at the market and sectoral level in 2000-2010. Using multivariate GARCH models, our results suggest that the correlation among equity returns during the financial crisis (2008-2010) somewhat increased suggesting that the crisis represented a common shock to all countries. The U.S. stock market is found to be the most correlated with the stock markets in Brazil, Canada and UK. The correlation of U.S. and Chinese stock market is esentially zero before the crisis; it becomes slightly positive during the crisis. The sectoral indices are less correlated than the market indices over the whole period, but again the correlations increase during the crisis.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 35317.
Date of creation: 09 Dec 2011
Date of revision:
Financial crisis; stock market comovements; GARCH;
Other versions of this item:
- Horvath Roman & Poldauf Petr, 2012. "International Stock Market Comovements: What Happened during the Financial Crisis?," Global Economy Journal, De Gruyter, vol. 12(1), pages 1-21, March.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-12-19 (All new papers)
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