Developed Stock Market Integration: New Evidence from the Pre- and Post-Financial Crisis of 2007-2009
Bibliographic record
Abstract
This paper studies the interdependence between the U.S. and four other developed stock markets in Canada, Japan, Sweden, and the UK. Specifically, we investigate how the 2007-2009 financial crisis influenced the dynamics of stock market integration among five developed countries by analyzing the short-run and long-run effects of the crisis over two sample periods: pre-crisis and post-crisis. We employ the Johansen co-integration test to verify cointegration and the Vector Error Correction Model (VECM) to examine the short-run and long-run relationships among five national stock markets. The results of co-integration tests confirm the presence of co-integration in both sample periods. The short-run VECM results indicate a significant influence of the U.S. market on four other markets in both periods, suggesting that little diversification benefits exist in the short-run. The pre-crisis long-run results demonstrate significant cointegrating relationships between the U.S. market and each of three markets (in Canada, Japan, and Sweden). The insignificant cointegrating relationship between the UK and U.S. markets in the pre-crisis period, however, becomes significant in the post-crisis period. In contrast, the Japanese stock market, which was initially cointegrated with the U.S. market in the pre-crisis period, loses its cointegrating relationship with the U.S. market in the post-crisis period. Overall, our findings confirm that major national equity markets are, to varying degrees, interdependent in both the short-run and long-run. We also find that a negative shock such as a financial crisis may significantly change the co-movements among national stock markets.
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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 | 0.001 | 0.003 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.002 | 0.003 |
| Science and technology studies | 0.000 | 0.001 |
| Scholarly communication | 0.001 | 0.001 |
| Open science | 0.000 | 0.001 |
| Research integrity | 0.000 | 0.001 |
| Insufficient payload (model declined to judge) | 0.001 | 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".