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

0375580 - ÚTIA 2013 RIV NL eng J - Článek v odborném periodiku
Horváth, Roman - Poldauf, P.
International Stock Market Comovements: What Happened during the Financial Crisis?
Global Economy Journal. Roč. 12, č. 1 (2012), s. 1-21. ISSN 1524-5861
Grant CEP: GA ČR GA402/09/0965
Výzkumný záměr: CEZ:AV0Z10750506
Institucionální podpora: RVO:67985556
Klíčová slova: stock market comovements * financial crisis * GARCH
Kód oboru RIV: AH - Ekonomie
http://library.utia.cas.cz/separaty/2012/E/horvath-international stock market comovements what happened during the financial crisis.pdf

We investigate the stock market comovements 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.
Trvalý link: http://hdl.handle.net/11104/0208193