International Stock Market Comovements: What Happened during the Financial Crisis?

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F12%3A10124514" target="_blank" >RIV/00216208:11230/12:10124514 - isvavai.cz</a>

Alternative codes found

RIV/67985556:_____/12:00375580

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

International Stock Market Comovements: What Happened during the Financial Crisis?

Original language description

We investigate the stock market co movements in Australia, Brazil, Canada, China, Germany, Hong Kong, Japan, Russia, South Africa, the UK, and the USA, both at the market and sectoral level in 2000-2010. Using multivariate GARCH models, our results suggest that the correlation among equity returns during the financial crisis (2008-2010) somewhat increased, suggesting that the crisis represented a common shock to all countries. The U.S. stock market is found to be the most correlated with the stock markets in Brazil, Canada and UK. The correlation of U.S. and Chinese stock market is essentially zero before the crisis; it becomes slightly positive during the crisis. The sectoral indices are less correlated than the market indices over the whole period, but, again, the correlations increase during the crisis.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

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Project

<a href="/en/project/GA402%2F09%2F0965" target="_blank" >GA402/09/0965: New Approaches to Monitoring and Forecasting Financial Markets</a><br>

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2012

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Global Economy Journal

ISSN

1524-5861

e-ISSN

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Volume of the periodical

12

Issue of the periodical within the volume

1

Country of publishing house

US - UNITED STATES

Number of pages

21

Pages from-to

1-21

UT code for WoS article

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EID of the result in the Scopus database

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