Co-Movements Of U.S. And European Stock Markets Before And After The 2008 Gloal Stock Market Crash

Empirical studies show that correlation between national stock markets increased and the benefits of global portfolio diversification decreased significantly after the global stock market crash of 1987. The 1987 and 2008 crashes are the two most important global stock market crashes since the 1929 G...

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Main Authors: Meric Ilhan, Nygren Lan Ma, Bentley Jerome T., McCall Charles W.
Format: Article
Language:English
Published: Sciendo 2015-08-01
Series:Studies in Business and Economics
Subjects:
Online Access:https://doi.org/10.1515/sbe-2015-0022
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spelling doaj-1177a6bc697649fd893d00518b734f422021-09-05T14:00:24ZengSciendoStudies in Business and Economics2344-54162015-08-01102839810.1515/sbe-2015-0022sbe-2015-0022Co-Movements Of U.S. And European Stock Markets Before And After The 2008 Gloal Stock Market CrashMeric Ilhan0Nygren Lan Ma1Bentley Jerome T.2McCall Charles W.3Rider University, Lawrenceville, New Jersey, USARider University, Lawrenceville, New Jersey, USARider University, Lawrenceville, New Jersey, USARider University, Lawrenceville, New Jersey, USAEmpirical studies show that correlation between national stock markets increased and the benefits of global portfolio diversification decreased significantly after the global stock market crash of 1987. The 1987 and 2008 crashes are the two most important global stock market crashes since the 1929 Great depression. Although the effects of the 1987 crash on the comovements of national stock markets have been investigated extensively, the effects of the 2008 crash have not been studied sufficiently. In this paper we study this issue with a research sample that includes the U.S stock market and twenty European stock markets. We find that correlation between the twenty-one stock markets increased and the benefits of portfolio diversification decreased significantly after the 2008 stock market crash.https://doi.org/10.1515/sbe-2015-0022european stock marketsportfolio diversification2008 stock market crash
collection DOAJ
language English
format Article
sources DOAJ
author Meric Ilhan
Nygren Lan Ma
Bentley Jerome T.
McCall Charles W.
spellingShingle Meric Ilhan
Nygren Lan Ma
Bentley Jerome T.
McCall Charles W.
Co-Movements Of U.S. And European Stock Markets Before And After The 2008 Gloal Stock Market Crash
Studies in Business and Economics
european stock markets
portfolio diversification
2008 stock market crash
author_facet Meric Ilhan
Nygren Lan Ma
Bentley Jerome T.
McCall Charles W.
author_sort Meric Ilhan
title Co-Movements Of U.S. And European Stock Markets Before And After The 2008 Gloal Stock Market Crash
title_short Co-Movements Of U.S. And European Stock Markets Before And After The 2008 Gloal Stock Market Crash
title_full Co-Movements Of U.S. And European Stock Markets Before And After The 2008 Gloal Stock Market Crash
title_fullStr Co-Movements Of U.S. And European Stock Markets Before And After The 2008 Gloal Stock Market Crash
title_full_unstemmed Co-Movements Of U.S. And European Stock Markets Before And After The 2008 Gloal Stock Market Crash
title_sort co-movements of u.s. and european stock markets before and after the 2008 gloal stock market crash
publisher Sciendo
series Studies in Business and Economics
issn 2344-5416
publishDate 2015-08-01
description Empirical studies show that correlation between national stock markets increased and the benefits of global portfolio diversification decreased significantly after the global stock market crash of 1987. The 1987 and 2008 crashes are the two most important global stock market crashes since the 1929 Great depression. Although the effects of the 1987 crash on the comovements of national stock markets have been investigated extensively, the effects of the 2008 crash have not been studied sufficiently. In this paper we study this issue with a research sample that includes the U.S stock market and twenty European stock markets. We find that correlation between the twenty-one stock markets increased and the benefits of portfolio diversification decreased significantly after the 2008 stock market crash.
topic european stock markets
portfolio diversification
2008 stock market crash
url https://doi.org/10.1515/sbe-2015-0022
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AT nygrenlanma comovementsofusandeuropeanstockmarketsbeforeandafterthe2008gloalstockmarketcrash
AT bentleyjeromet comovementsofusandeuropeanstockmarketsbeforeandafterthe2008gloalstockmarketcrash
AT mccallcharlesw comovementsofusandeuropeanstockmarketsbeforeandafterthe2008gloalstockmarketcrash
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