Stock Market Integration and the Global Financial Crisis
Lehkonen, H. (2015). Stock Market Integration and the Global Financial Crisis. Review of Finance, 19 (5), 2039-2094. doi:10.1093/rof/rfu039
Published inReview of Finance
© Oxford University Press. This is a final draft version of an article whose final and defenitive form has been published by Oxford University Press.
We study the dynamics of stock market integration and its consequences during the recent financial crisis for 23 developed and 60 emerging markets. We find that integration increased slightly for emerging markets but decreased for developed countries during the crisis. Moreover, we argue that the high degree of integration propagated the crisis across the global financial markets at the beginning of the crisis, but it had little effect during the crisis. We also find that integration is mostly affected by financial openness, the institutional environment and global financial uncertainty but that these determinants vary slightly between emerging and developed markets.
PublisherOxford University Press; European Finance Association
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- Kauppakorkeakoulu