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Correlation of International Stock Markets Before and During the Subprime Crisis

Author

Listed:
  • Ioana Moldovan

    () (PhD candidate, Academy of Economic Studies, Bucharest, Romania)

  • Claudia Medrega

    () (PhD candidate, Academy of Economic Studies, Bucharest, Romania)

Abstract

The 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.

Suggested Citation

  • Ioana Moldovan & Claudia Medrega, 2011. "Correlation of International Stock Markets Before and During the Subprime Crisis," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 14(40), pages 173-193, June.
  • Handle: RePEc:rej:journl:v:14:y:2011:i:40:p:173-193
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    File URL: http://www.rejournal.eu/sites/rejournal.versatech.ro/files/articole/2011-06-01/2090/je40-moldovanmedrega.pdf
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    References listed on IDEAS

    as
    1. 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.
    2. 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.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    stock markets; subprime crisis; contagion; correlation; volatility;

    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

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