Abstract

The financial markets across globe have become distinctly integrated owing to liberalization and globalsiation
policy as well as advancement of information technology. The contagion effect of macroeconomic disturbances
or financial crisis, internally and externally, is rapidly disseminating across various economies. The recent global
recession of 2007-09 started with US subprime crises and subsequently followed by Lehman brother crisis
affected all most all major economies of the world. In this contenxt, the present paper explores the stock market
integration of leading stock exchanges across various countries during pre and post economic crisis of 2007-09.
Thus for empirical analysis, it uses the data since 2004-2012. It attempts to find out the breaks point, if any, in
the pattern of stock price movements endogenously. Further efforts have also been made to examine changing
pattern of relationship among stock prices using bivariate and multivariate cointegration techniques. The study
suggests that although stock markets are integrated globally, the integration is very weak. This proposes that
stock prices as well as returns are not strongly interrelated across markets. The Granger casualty results also
provides mixed evidences, although some changes are noticed about the causality between stock prices from
pre-recession to post recession period in Chinese stock markets.

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