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Escola Superior de Tecnologia e Gestão (ESTG) >
Artigos em Revista Internacional (ESTG) >
Utilize este identificador para referenciar este registo:
http://hdl.handle.net/10314/2354
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| 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: | 2014 |
| 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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Ficheiros deste Registo:
| Ficheiro |
Descrição |
Tamanho | Formato |
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| Vitor Gabriel 2014.pdf | | 198Kb | Adobe PDF | Ver/Abrir | |
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