Financial crisis and stock market linkages

Detalhes bibliográficos
Autor(a) principal: Gabriel, Vítor
Data de Publicação: 2014
Outros Autores: Manso, José
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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spelling 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
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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
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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
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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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