Stock Markets Correlation: before and during the Crisis Analysis
The article studies the correlations between the stock markets of the greatest financial centers in the world, namely New York, London and Tokyo, in two different time intervals, namely before the global crisis that erupted in 2007 and during it, in order to determine whether the stock markets correlate more strongly during increasing or decreasing trends. The results of the analysis, carried out by means of multiple regressions, show that the links between the three stock markets were more intense during the crisis, on a decreasing trend respectively, than before the financial turmoil, when the stock indexes had an upward trend.
Volume (Year): XVIII(2011) (2011)
Issue (Month): 8(561) (August)
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- Markwat, T.D. & Kole, H.J.W.G. & van Dijk, D.J.C., 2008.
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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 University Rotterdam.
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- Mierau, Jochen O. & Mink, Mark, 2013.
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- 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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