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

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	We investigate the stock market co movements 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. We investigate the stock market co movements 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. (en)
Title	International Stock Market Comovements: What Happened during the Financial Crisis? International Stock Market Comovements: What Happened during the Financial Crisis? (en)
skos:prefLabel	International Stock Market Comovements: What Happened during the Financial Crisis? International Stock Market Comovements: What Happened during the Financial Crisis? (en)
skos:notation	RIV/00216208:11230/12:10124514!RIV13-MSM-11230___
http://linked.open...avai/predkladatel	Fakulta sociálních věd
http://linked.open...avai/riv/aktivita	I P Z
http://linked.open...avai/riv/aktivity	I, P(GA402/09/0965), Z(AV0Z10750506)
http://linked.open...iv/cisloPeriodika	1
http://linked.open...vai/riv/dodaniDat	2013
http://linked.open...aciTvurceVysledku	Horváth, Roman Poldauf, Petr
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Univerzita Karlova v Praze / Fakulta sociálních věd
http://linked.open...dnocenehoVysledku	142457
http://linked.open...ai/riv/idVysledku	RIV/00216208:11230/12:10124514
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	comovements; financial crisis; stock markets (en)
http://linked.open.../riv/klicoveSlovo	stock markets financial crisis comovements
http://linked.open...odStatuVydavatele	US - Spojené státy americké
http://linked.open...ontrolniKodProRIV	[95519DA7C1D9]
http://linked.open...i/riv/nazevZdroje	Global Economy Journal
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	New Approaches to Monitoring and Forecasting Financial Markets
http://linked.open...UplatneniVysledku	2012
http://linked.open...v/svazekPeriodika	12
http://linked.open...iv/tvurceVysledku	Horváth, Roman Poldauf, Petr
http://linked.open...n/vavai/riv/zamer	Pokročilé matematické metody získávání, zpracování a využití informací a znalostí ve složitých a nedeterministických systémech
issn	1524-5861
number of pages	21 (xsd:int)
http://localhost/t...ganizacniJednotka	11230
is http://linked.open...avai/riv/vysledek of	International Stock Market Comovements: What Happened during the Financial Crisis?

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