Do Markets Cointegrate after Financial Crises? Evidence from G-20 Stock Markets

Do Markets Cointegrate after Financial Crises? Evidence from G-20 Stock Markets

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...

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Bibliographic Details
Main Authors: Mahfuzul Haque, Hannarong Shamsub
Format: Article
Language:English
Published: MDPI AG 2015-12-01
Series:International Journal of Financial Studies
Subjects:
financial crises
euro crises
stock markets-developed and developing
cointegration
vector auto regression
granger causality and variance decomposition
Online Access:http://www.mdpi.com/2227-7072/3/4/557

Internet

http://www.mdpi.com/2227-7072/3/4/557

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