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Financial Crisis And Stock Market Linkages

Listed author(s):
  • GABRIEL, Victor Manuel de Sousa
  • MANSO, José Ramos Pires
Registered author(s):

    This paper investigates interdependencies and linkages between international stock markets in the short-run. Thus, twelve European and non-European markets were selected, and the period from 4. October 1999 to 30 June 2011 was chosen, which includes the Dot-Com crisis and the recent Global Financial Crisis. To investigate interdependence and dynamic linkages between stock markets, a vector autoregressive model, the concept of Granger causality and impulse-response functions were considered. We concluded that the global financial crisis contributes to the intensification of the interdependence between stock markets.

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    File URL: http://www.usc.es/econo/RGE/Vol23/rge23412c.pdf
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    Article provided by University of Santiago de Compostela. Faculty of Economics and Business. in its journal Revista Galega de Economía.

    Volume (Year): 23 (2014)
    Issue (Month): 4 ()
    Pages: 133-148

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    Handle: RePEc:sdo:regaec:v:23:y:2014:i:4_12
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    Web page: http://www.usc.es/econo/RGE/benvidag.htm

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