Do Markets Cointegrate after Financial Crises? Evidence from G-20 Stock Markets
AbstractThe results of the single-equation cointegration tests indicate that patterns of cointegration in the two main and four sub-periods are not homogeneous. Two key findings emerge from the study. First, fewer stock markets cointegrated with S&P 500 during the crisis period than they did during the pre-crisis. In other words, as the 2008 financial crisis deepened, S&P 500 and G-20 stock indices moved towards less cointegration. The decreasing number of cointegrating relationships implies that the U.S. stock markets and other G-20 markets have experienced different driving forces since the start of the U.S. crisis. Second, among those markets that are cointegrated with S&P 500, they happened to be deeply affected by S&P and the shocks emerging from it. The 2007–2009 financial crises can be considered a structural break in the long-run relationship and may have resulted from effective joint intervention/responses taken by members of G-20 nations. View Full-Text
Scifeed alert for new publicationsNever miss any articles matching your research from any publisher
- Get alerts for new papers matching your research
- Find out the new papers from selected authors
- Updated daily for 49'000+ journals and 6000+ publishers
- Define your Scifeed now
Haque, M.; Shamsub, H. Do Markets Cointegrate after Financial Crises? Evidence from G-20 Stock Markets. Int. J. Financial Stud. 2015, 3, 557-586.
Haque M, Shamsub H. Do Markets Cointegrate after Financial Crises? Evidence from G-20 Stock Markets. International Journal of Financial Studies. 2015; 3(4):557-586.Chicago/Turabian Style
Haque, Mahfuzul; Shamsub, Hannarong. 2015. "Do Markets Cointegrate after Financial Crises? Evidence from G-20 Stock Markets." Int. J. Financial Stud. 3, no. 4: 557-586.