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Dynamic linkages of stock prices among G7 countries: effects of the American financial crisis

Author

Listed:
  • Haifeng Xu

    (Kobe University)

  • Shigeyuki Hamori

    (Kobe University)

Abstract

In this paper, we use the cross-correlation function developed by Cheung and Ng (1996) to investigate the dynamic linkages among G7 countries in the mean and volatility of stock prices from June 2, 2003, through July 31, 2010. In particular, we examined the impact of the American financial crisis, which erupted in the US in September 2008 as a result of the sub-prime loan losses of 2007. The sample period is divided into two—the pre- and post-crisis periods—in order to study the causal relationship in mean and volatility. Our research has shown that the international transmission of stock market indices among G7 countries weakened in the mean but became stronger in volatility through the 2007–2008 American financial crisis.

Suggested Citation

  • Haifeng Xu & Shigeyuki Hamori, 2010. "Dynamic linkages of stock prices among G7 countries: effects of the American financial crisis," Economics Bulletin, AccessEcon, vol. 30(4), pages 2656-2667.
    • Handle: RePEc:ebl:ecbull:eb-10-00524
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    File URL: http://www.accessecon.com/Pubs/EB/2010/Volume30/EB-10-V30-I4-P244.pdf
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    Cited by:

    1. Yusaku Nishimura & Yoshiro Tsutsui & Kenjiro Hirayama, 2016. "The Chinese Stock Market Does not React to the Japanese Market: Using Intraday Data to Analyse Return and Volatility Spillover Effects," The Japanese Economic Review, Japanese Economic Association, vol. 67(3), pages 280-294, September.

    More about this item

    Keywords

    G7 countries; financial crisis; stock prices; dynamic linkages; CCF approach;
    All these keywords.

    JEL classification:

    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
    • O1 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development

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