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Cointegration Analysis of Financial Market Indices During Financial Shocks. Focus on Global Financial Crisis and COVID-19 ?andemic Crisis

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  • Roko Pedisic

Abstract

The ?ur?ose of this research was to examine cointegration relationships among the stock market indices before and after the global financial crisis. The cointegration effects were analysed also in the context of the COVID-19 pandemic. The sample included 20 years of data at daily, weekly, and monthly frequencies for stock ?rice indices in the United States (S&? 500), Europe (STXE 600), Japan (Nikkei 225), China (SSE composite), Australia (S&P/ASX 200), and Brazil (IBOVESPA). Two interesting empirical facts were documented. First, the global financial crisis does not seem to have played a significant and uniform role in influencing the cointegration relationship, as only for the monthly sample the number of cointegrating relationships changed after the crisis. Second, the daily sample allowed to explore the period during the COVID-19 pandemic. The findings suggest that this event increased the number of cointegrating relationships, perhaps due to the global nature of such phenomenon which affects both developed and emerging economies contemporaneously. On the other hand, the financial crisis affected mainly developed economies, and the spillovers to emerging markets took place at a later stage as a second-round effect. In line with the previous findings in the existing literature, the results of the study have shown that cointegration stock market indices is dependent on the period of analysis and the frequency of the data.

Suggested Citation

  • Roko Pedisic, 2022. "Cointegration Analysis of Financial Market Indices During Financial Shocks. Focus on Global Financial Crisis and COVID-19 ?andemic Crisis," Bulletin of Applied Economics, Risk Market Journals, vol. 9(2), pages 59-78.
    • Handle: RePEc:rmk:rmkbae:v:9:y:2022:i:2:p:59-78
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    More about this item

    Keywords

    Cointegration analysis; stock markets; financial crisis; COVID-19.;
    All these keywords.

    JEL classification:

    • C0 - Mathematical and Quantitative Methods - - General
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • G1 - Financial Economics - - General Financial Markets
    • F6 - International Economics - - Economic Impacts of Globalization

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