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Utilize este identificador para referenciar este registo: http://hdl.handle.net/10314/2354

Título: Financial crisis and stock market linkages
Autores: Gabriel, Vítor
Manso, José
Palavras Chave: Global Financial Crisis
Stock Markets
Co-Movements
Vector Autoregressive model
Granger Causality
Impulse-Response
Data: 27-Jun-2016
Resumo: This paper investigates interdependencies and linkages between international stock markets in the shortrun. Thus, twelve European and non-European markets were selected, and the period from 4 October 1999 to 30 June 2011 was chosen, which includes the Dot-Com crisis and the recent Global Financial Crisis. To investigate interdependence and dynamic linkages between stock markets, a vector autoregressive model, the concept of Granger causality and impulse-response functions were considered. We concluded that the global financial crisis contributes to the intensification of the interdependence between stock markets.
URI: http://hdl.handle.net/10314/2354
ISSN: 2255-5951
Aparece nas Colecções:Artigos em Revista Internacional (ESTG)

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