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Integration of Financial Markets in Post Global Financial Crises and Implications for British Financial Sector: Analysis Based on A Panel VAR Model

Author

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  • Muhammad Ali Nasir

    (Leeds Beckett University)

  • Min Du

    (Leeds Beckett University)

Abstract

This study analyses the dynamics of integration among global financial markets in the context of Global Financial Crisis (2008) by employing a Panel Vector Autoregressive (VAR) model on the monthly data of nine countries and three markets from Jan 2003 to Oct 2015. It was found that there has been a shift in the association among the global financial markets since Global Financial Crisis (GFC). Moreover, the British financial sectors in Post- GFC world clearly showed a change in the association with the global financial sectors. Particularly, the emerging markets including China, Brazil and India showed a comparatively more significant impact on the UK financial sector implying the increased importance of the latter in the recent past. The German and USA financial sector also showed a change in its impact in the Post-GFC world. It showed that Germany and USA financial sectors have become competitive to the UK financial Sector as the surge in them lead to a relative response from the UK financial sector which could be associated with the portfolio adjustment.

Suggested Citation

  • Muhammad Ali Nasir & Min Du, 2018. "Integration of Financial Markets in Post Global Financial Crises and Implications for British Financial Sector: Analysis Based on A Panel VAR Model," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(2), pages 363-388, June.
    • Handle: RePEc:spr:jqecon:v:16:y:2018:i:2:d:10.1007_s40953-017-0087-2
    DOI: 10.1007/s40953-017-0087-2
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    7. Belhassine, Olfa & Karamti, Chiraz, 2021. "Contagion and portfolio management in times of COVID-19," Economic Analysis and Policy, Elsevier, vol. 72(C), pages 73-86.
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    More about this item

    Keywords

    Financial markets; Financial integration; Global financial crises; Panel VAR model;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • P45 - Political Economy and Comparative Economic Systems - - Other Economic Systems - - - International Linkages

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