Cointegration of Major Stock Market Indices during the 2008 Global Financial Distress

Komlavi Elubueni Assidenou

Abstract


This paper investigates the cointegration properties of major capital markets indices during the September, 2008 / August, 2009 episode of the financial and banking crises originated in U.S markets. Based on daily closing prices of international stock markets indices, the analysis shows that three set of indices of economies (OECD group, Pacific group and Asia group) have at least one cointegrating vector. Contrary to former studies that concluded on the independencies of Asian markets, this paper reveals that during the deeper financial crisis period, Asian major markets indices were cointegrated. This finding suggests that local investors in Asian capital markets cannot avoid any influence from outside capital markets even if some local markets are still entirely not opened to international investors.


Full Text: PDF DOI: 10.5539/ijef.v3n2p212

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This work is licensed under a Creative Commons Attribution 3.0 License.

International Journal of Economics and Finance  ISSN  1916-971X (Print) ISSN  1916-9728 (Online)

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