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Stock Markets Correlation: before and during the Crisis Analysis

Author

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  • Ioana MOLDOVAN

    (Bucharest Academy of Economic Studies)

Abstract

The article studies the correlations between the stock markets of the greatest financial centers in the world, namely New York, London and Tokyo, in two different time intervals, namely before the global crisis that erupted in 2007 and during it, in order to determine whether the stock markets correlate more strongly during increasing or decreasing trends. The results of the analysis, carried out by means of multiple regressions, show that the links between the three stock markets were more intense during the crisis, on a decreasing trend respectively, than before the financial turmoil, when the stock indexes had an upward trend.

Suggested Citation

  • Ioana MOLDOVAN, 2011. "Stock Markets Correlation: before and during the Crisis Analysis," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(8(561)), pages 111-122, August.
    • Handle: RePEc:agr:journl:v:8(561):y:2011:i:8(561):p:111-122
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    References listed on IDEAS

    as
    1. Antonio Forte & Giovanni Pesce, 2009. "The International Financial Crisis: an Expert Survey," SERIES 0024, Dipartimento di Economia e Finanza - Università degli Studi di Bari "Aldo Moro", revised Apr 2009.
    2. Markwat, Thijs & Kole, Erik & van Dijk, Dick, 2009. "Contagion as a domino effect in global stock markets," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 1996-2012, November.
    3. Mierau, Jochen O. & Mink, Mark, 2013. "Are stock market crises contagious? The role of crisis definitions," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4765-4776.
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    Cited by:

    1. Shafiu ABDULLAHI, 2017. "Stock Market Linkage Financial Contagion and Assets Price Movements Evidence from Nigerian Stock Exchange," Journal of Advanced Studies in Finance, ASERS Publishing, vol. 8(2), pages 146-159.
    2. Karanasos, Menelaos & Yfanti, Stavroula & Karoglou, Michail, 2016. "Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 332-349.
    3. Víctor M. Adame-García & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, "undated". "Portfolios in the Ibex 35 index: Alternative methods to the traditional framework, a comparative with the naive diversification in a pre- and post- crisis context," Documentos de Trabajo del ICAE 2015-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Jun 2015.
    4. Víctor Adame-García & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, 2017. "“Resolution of optimization problems and construction of efficient portfolios: An application to the Euro Stoxx 50 index"," IREA Working Papers 201702, University of Barcelona, Research Institute of Applied Economics, revised Feb 2017.

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