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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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.:
- 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.
- 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.
- 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 University Rotterdam.
- Markwat, Thijs & Kole, Erik & van Dijk, Dick, 2009. "Contagion as a domino effect in global stock markets," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 1996-2012, November.
- repec:bai:series:wp0024 is not listed on IDEAS
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