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Testing Integration Effects Between the Cee and U.S. Stock Markets During the 2007–2009 Global Financial Crisis

100%

Olbryś J., Majewska E.

Folia Oeconomica Stetinensia

2015

vol. 15

issue 1

101-113

The main goal of this paper is to explicitly test a research hypothesis that there was no integration effect among the U.S. and the eight Central and Eastern European (CEE) stock markets during the 2007-2009 Global Financial Crisis (GFC). As growing international integration could lead to a progressive increase in cross-market correlations, the evaluation of integration was carried out by applying equality tests of correlation matrices computed over non-overlapping subsamples: the pre-crisis and crisis periods, in the group of investigated markets. The crisis periods are formally established based on a statistical method of dividing market states into bullish and bearish markets. The sample period May 2004-April 2014 includes the 2007 U.S. subprime financial crisis. The robustness analysis of the integration tests with respect to various data frequencies is provided. The empirical results are not homogeneous and they depend both on the integration test and data frequency. Consequently, it is not possible to conclude whether integration between the investigated markets is present.

Crisis Periods, Contagion and Integration Effects in the Major African Equity Markets During the 2007-2009 Global Financial Crisis

88%

Labuschagne C., Majewska E., Olbryś J.

Optimum. Studia Ekonomiczne

2016

vol. 5(83)

A number of studies assert that during critical events cross-market correlations change substantially. The main focus of this paper is to explicitly test two research hypotheses concerning the effect of increasing cross-market correlations in the 2007-2009 Global Financial Crisis (GFC) compared to the pre-crisis period. These hypotheses state that there was no contagion and no integration effects among the U.S., the U.K., and selected African stock markets (South Africa, Namibia, Egypt, Nigeria, Morocco and Kenya) during the GFC. The crisis periods are formally detected using a statistical method of dividing market states into bullish and bearish markets. The sample period begins in January 2003 and ends in December 2013, and it includes the 2007 U.S. subprime crisis. Obtained results indicate that there is no reason to reject both research hypotheses. Moreover, the results confirm a heterogeneity of the African equity markets in the context of the influence of the recent global crisis.

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1 Folia Oeconomica Stetinensia

1 Optimum. Studia Ekonomiczne

2 Majewska E.

2 Olbryś J.

1 Labuschagne C.

1 2016

1 2015

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Testing Integration Effects Between the Cee and U.S. Stock Markets During the 2007–2009 Global Financial Crisis

Crisis Periods, Contagion and Integration Effects in the Major African Equity Markets During the 2007-2009 Global Financial Crisis