Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/167798
Authors: 
Haque, Mahfuzul
Shamsub, Hannarong
Year of Publication: 
2015
Citation: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 3 [Year:] 2015 [Issue:] 4 [Pages:] 557-586
Abstract: 
The results of the single-equation cointegration tests indicate that patterns of cointegration in the two main and four sub-periods are not homogeneous. Two key findings emerge from the study. First, fewer stock markets cointegrated with S&P 500 during the crisis period than they did during the pre-crisis. In other words, as the 2008 financial crisis deepened, S&P 500 and G-20 stock indices moved towards less cointegration. The decreasing number of cointegrating relationships implies that the U.S. stock markets and other G-20 markets have experienced different driving forces since the start of the U.S. crisis. Second, among those markets that are cointegrated with S&P 500, they happened to be deeply affected by S&P and the shocks emerging from it. The 2007-2009 financial crises can be considered a structural break in the long-run relationship and may have resulted from effective joint intervention/responses taken by members of G-20 nations.
Subjects: 
financial crises
euro crises
stock markets-developed and developing
cointegration
vector auto regression
granger causality and variance decomposition
JEL: 
C5
G01
F3
F36
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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