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.Because of using recent data and studying the effects before and after the latest financial crisis, our research provides new evidence on financial market integration, thus making incremental contributions to the existing literature.
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How this classification was reachedexpand
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.001 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.001 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.001 |
| Insufficient payload (model declined to judge) | 0.000 | 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 teacher head, 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".