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, Thijs & Kole, Erik & van Dijk, Dick, 2009.
"Contagion as a domino effect in global stock markets,"
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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.
- Antonio Forte & Giovanni Pesce, 2009. "The International Financial Crisis: an Expert Survey," SERIES 0024, Dipartimento di Scienze economiche e metodi matematici - Università di Bari, revised Apr 2009.
- Antonio Forte & Giovanni Pesce, 2009. "The International Financial Crisis Viewed by Experts," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 38(1-2), pages 67-95, 02. Full references (including those not matched with items on IDEAS)
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