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Stock Market Integration and the Global Financial Crisis

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  • Heikki Lehkonen

Abstract

We study the dynamics of stock market integration and its consequences during the recent financial crisis for twenty-three developed and sixty emerging markets. We find that integration increased slightly for emerging markets but decreased for developed countries during the crisis. Moreover, we argue that the high degree of integration propagated the crisis across the global financial markets at the beginning of the crisis, but it had little effect during the crisis. We also find that integration is mostly affected by financial openness, the institutional environment, and global financial uncertainty but that these determinants vary slightly between emerging and developed markets.

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  • Heikki Lehkonen, 2015. "Stock Market Integration and the Global Financial Crisis," Review of Finance, European Finance Association, vol. 19(5), pages 2039-2094.
    • Handle: RePEc:oup:revfin:v:19:y:2015:i:5:p:2039-2094.
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    File URL: http://hdl.handle.net/10.1093/rof/rfu039
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    References listed on IDEAS

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    1. Jeffrey D. Sachs & Andrew Warner, 1995. "Economic Reform and the Process of Global Integration," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 26(1, 25th A), pages 1-118.
    2. Frederic S. Mishkin & Eugene N. White, 2002. "U.S. Stock Market Crashes and Their Aftermath: Implications for Monetary Policy," NBER Working Papers 8992, National Bureau of Economic Research, Inc.
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