Financial crisis and stock market linkages
Autor(a) principal: | |
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Data de Publicação: | 2014 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10314/2354 |
Resumo: | This paper investigates interdependencies and linkages between international stock markets in the shortrun. 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. |
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Financial crisis and stock market linkagesGlobal Financial CrisisStock MarketsCo-MovementsVector Autoregressive modelGranger CausalityImpulse-ResponseThis paper investigates interdependencies and linkages between international stock markets in the shortrun. 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.2016-06-27T20:31:27Z2016-06-272014-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10314/2354http://hdl.handle.net/10314/2354eng2255-5951Gabriel, VítorManso, Joséinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-01-14T02:55:11Zoai:bdigital.ipg.pt:10314/2354Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T01:42:00.003126Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Financial crisis and stock market linkages |
title |
Financial crisis and stock market linkages |
spellingShingle |
Financial crisis and stock market linkages Gabriel, Vítor Global Financial Crisis Stock Markets Co-Movements Vector Autoregressive model Granger Causality Impulse-Response |
title_short |
Financial crisis and stock market linkages |
title_full |
Financial crisis and stock market linkages |
title_fullStr |
Financial crisis and stock market linkages |
title_full_unstemmed |
Financial crisis and stock market linkages |
title_sort |
Financial crisis and stock market linkages |
author |
Gabriel, Vítor |
author_facet |
Gabriel, Vítor Manso, José |
author_role |
author |
author2 |
Manso, José |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Gabriel, Vítor Manso, José |
dc.subject.por.fl_str_mv |
Global Financial Crisis Stock Markets Co-Movements Vector Autoregressive model Granger Causality Impulse-Response |
topic |
Global Financial Crisis Stock Markets Co-Movements Vector Autoregressive model Granger Causality Impulse-Response |
description |
This paper investigates interdependencies and linkages between international stock markets in the shortrun. 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. |
publishDate |
2014 |
dc.date.none.fl_str_mv |
2014-01-01T00:00:00Z 2016-06-27T20:31:27Z 2016-06-27 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10314/2354 http://hdl.handle.net/10314/2354 |
url |
http://hdl.handle.net/10314/2354 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
2255-5951 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
|
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1799136911359475712 |