The Financial Crisis and its Impact on Comovements of Financial Markets: Evidence from Exchange-Traded Funds
Bibliographic record
Abstract
The two-fold objective of this paper is, on one hand, to study the comovements of international financial markets before and after the “subprime” financial crisis and, on the other hand, to determine their impact on international diversification, using substitutes for investable country indices, that is, exchange-traded funds. These new instruments are highly prized by investors. Three main categories of comovements are analyzed: short-term comovements as studied by contagion and dynamic conditional correlations; long-term comovements as studied by cointegration; and, finally comovements induced by the transmission of extreme values. In studying these comovements between the American market and 21 other developed and emerging markets, our results suggest that, after the financial crisis, the interdependencies and transmission of extreme values between the American market and the other markets studied increased significantly in the short term and, thus, reduced the advantages of international diversification in the short term. However, our analyses of contagion and cointegration suggest that the benefits of international diversification persist over the long term, even in times of crisis.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.002 | 0.009 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.001 | 0.000 |
| Bibliometrics | 0.002 | 0.002 |
| Science and technology studies | 0.000 | 0.001 |
| Scholarly communication | 0.002 | 0.001 |
| Open science | 0.000 | 0.001 |
| Research integrity | 0.001 | 0.001 |
| Insufficient payload (model declined to judge) | 0.002 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".