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The Impact of the Global Financial Crisis, Does It Sustain?

Author

Listed:
  • Bashar Al-Zu¡¯bi
  • Hussein Salameh
  • Qasim Mousa Abu-Eid

Abstract

This paper studies the short and long term relationship between S&P500 USA stock market index and the stock market indices of 30 countries around the world over the period June 2010-April 2015. We implement OLS regression and use error correction model to examine the short and long term relationship between the variables. Empirically, we find that there is a relationship on the short and long term between S&P500 and the indices of 27 countries from East Asia, Europe, Latin America, Middle East as well as the countries of Australia and Canada. These results conclude that the global financial crisis of 2007-2008 significantly and lengthy increased the already high level of co-movement between the USA financial market and the observed stock market for 27 countries around the world. The findings from our research are important; however, we believe that further research based on our findings is necessary.

Suggested Citation

  • Bashar Al-Zu¡¯bi & Hussein Salameh & Qasim Mousa Abu-Eid, 2016. "The Impact of the Global Financial Crisis, Does It Sustain?," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(10), pages 82-91, October.
    • Handle: RePEc:ibn:ijefaa:v:8:y:2016:i:10:p:82-91
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    References listed on IDEAS

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    2. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
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    More about this item

    Keywords

    financial markets; econometrics; global financial crisis;
    All these keywords.

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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