FINANCIAL CRISIS AND STOCK MARKET LINKAGES

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VICTOR MANUEL DE SOUSA GABRIEL
Polytechnic Institute of Guarda
Portugal
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JOSE RAMOS PIRES MANSO
Portuguese Foundation for Science and Technology, Ministry of Education and Science
Portugal
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Vol. 23 N.º 4 (2014), Articles
https://doi.org/10.15304/rge.23.4.2793
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Resumo

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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