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Polytechnic Institute of Guarda
Portuguese Foundation for Science and Technology, Ministry of Education and Science
Vol 23 No 4 (2014), Articles
Submitted: 23-09-2015 Accepted: 23-09-2015 Published: 23-09-2015
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This paper investigates interdependencies and linkages between international stock markets in the short-run. 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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