FINANCIAL CRISIS AND STOCK MARKET LINKAGES
Keyword(s):
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.
2015 ◽
Vol 47
(34-35)
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pp. 3633-3650
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2021 ◽
Vol 10
(1)
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pp. 19
2017 ◽
Vol 19
(3)
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pp. 1187-1195
2019 ◽
Vol 534
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pp. 122056
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2018 ◽
Vol 46
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pp. 166-180
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2012 ◽
Vol 19
(3)
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pp. 325-341
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2014 ◽
Vol 13
(3)
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pp. 427
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