Open AccessFINANCIAL CRISIS AND STOCK MARKET LINKAGES
Author(s) -
Vítor Manuel de Sousa Gabriel,
José Ramos Pires Manso
Publication year - 2015
Publication title -
revista galega de economía
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.159
H-Index - 6
eISSN - 2255-5951
pISSN - 1132-2799
DOI - 10.15304/rge.23.4.2793
Subject(s) - financial crisis , granger causality , stock (firearms) , interdependence , financial market , economics , stock market , financial economics , vector autoregression , autoregressive model , financial system , business , monetary economics , finance , econometrics , macroeconomics , geography , context (archaeology) , archaeology , political science , law
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.