Connectivity in Global Stock Markets during Financial Crisis

Hyo Rim An (안효림); KIM, SOYEUN (김소연); Kim, Changki (김창기)

doi:10.14251/crisisonomy.2018.14.1.193

Connectivity in Global Stock Markets during Financial Crisis

Crisisonomy
Abbr : KRCEM
2018, 14(1), pp.193-211
DOI : 10.14251/crisisonomy.2018.14.1.193
Publisher : Crisis and Emergency Management: Theory and Praxis
Research Area : Social Science > Public Policy > Public Policy in general
Received : December 20, 2017
Accepted : January 12, 2018
Published : January 31, 2018

Hyo Rim An ¹, KIM, SOYEUN ², Kim, Changki ³

¹
²홍익대학교
³고려대학교

Accredited

ABSTRACT

This study analyzes the co-movement and causality of continental and intercontinental stock prices during the times of financial crisis. The co-movement of stock price-earnings ratios in each continent is analyzed and significant increase in co-movement during the times of financial crisis is verified. In addition, time-series data are analyzed by the following methods: unit root time series, co-integration, vector autoregressive (VAR) model, impulse response, forecast error variance decomposition, and Granger causality. The results show a significant increase in Granger causality of intercontinental price-earnings ratios during the times of financial crisis. An intercontinental path of impulse transfer is also identified during financial crises. These analyses can assist in controlling the risks of the international crises and help investors design effective investment strategies.

KEYWORDS

financial crisis, global stock market, comovement, Granger causality, vector autoregressive model, impulse response

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* References for papers published after 2023 are currently being built.

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Connectivity in Global Stock Markets during Financial Crisis

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* References for papers published after 2023 are currently being built.

Crisisonomy 2023 KCI Impact Factor : 0.64

Connectivity in Global Stock Markets during Financial Crisis

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