International Stock Market Comovements: What Happened during the Financial Crisis?

We investigate the stock market comovements in Australia, Brazil, Canada, China, Germany, Hong Kong, Japan, Russia, South Africa, the UK, and the USA, both at the market and sectoral level in 2000-2010. Using multivariate GARCH models, our results suggest that the correlation among equity returns du...

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Bibliographic Details
Published in:Global economy journal 2012-03, Vol.12 (1), p.1850252-40
Main Authors: Horvath, Roman, Poldauf, Petr
Format: Article
Language:English
Subjects:
Australia
China
Crisis management
Economic shock
Equity
Financial crisis
GARCH models
Stock exchange
U.S.A
United Kingdom
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Summary:We investigate the stock market comovements in Australia, Brazil, Canada, China, Germany, Hong Kong, Japan, Russia, South Africa, the UK, and the USA, both at the market and sectoral level in 2000-2010. Using multivariate GARCH models, our results suggest that the correlation among equity returns during the financial crisis (2008-2010) somewhat increased, suggesting that the crisis represented a common shock to all countries. The U.S. stock market is found to be the most correlated with the stock markets in Brazil, Canada and UK. The correlation of U.S. and Chinese stock market is essentially zero before the crisis; it becomes slightly positive during the crisis. The sectoral indices are less correlated than the market indices over the whole period, but, again, the correlations increase during the crisis.
ISSN:2194-5659
1553-5304
1553-5304
DOI:10.1515/1524-5861.1788