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Sustainability 2017, 9(2), 260; doi:10.3390/su9020260

The Financial Crisis and Co-Movement of Global Stock Markets—A Case of Six Major Economies

1
Institute of Finance, Jinan University, Guangzhou 510632, China
2
Department of Economics, University of Wisconsin-Eau Claire, 105 Garfield Avenue, WI 53711, USA
3
Finance Department, Jinan University, Guangzhou 510632, China
4
International School, Jinan University, Guangzhou 510632, China
*
Author to whom correspondence should be addressed.
Academic Editors: Xiang Li, Jian Zhou, Hua Ke and Xiangfeng Yang
Received: 14 November 2016 / Revised: 21 January 2017 / Accepted: 6 February 2017 / Published: 13 February 2017
View Full-Text   |   Download PDF [1076 KB, uploaded 13 February 2017]   |  

Abstract

This paper investigates the impact of recent financial crisis on six major stock markets during the three periods. To measure the impact of the crisis on different stock markets, we have applied a vector auto-regression (VAR) model and conducted Granger causality tests. The data used in this study, consists of time series of daily stock market indices at closing time, in terms of local currency units of the world’s six major stock markets which were affected during the financial crisis, while the sample period was divided into several sub-periods. The main objectives of the research was to discover the degree of interdependence of the six stock markets and trace out the Granger causality relationships and dynamic responses of one market to in another in innovation, and to make a comparison on the degree of the co-movements in three periods, namely, the pre-crisis period, crisis period, and post-crisis periods. The results suggest that the financial crisis has reinforced the interdependence relationship of global stock markets. However, general co-movements of global stock markets persist even after the crisis and still remained stronger in some economies. View Full-Text
Keywords: stock market co-movement; VAR model; Granger causality test; impulse response; financial crisis stock market co-movement; VAR model; Granger causality test; impulse response; financial crisis
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This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

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Jiang, Y.; Yu, M.; Hashmi, S.M. The Financial Crisis and Co-Movement of Global Stock Markets—A Case of Six Major Economies. Sustainability 2017, 9, 260.

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