The present study is therefore based on the determination of the behavior of stock markets during the period of the subprime crisis via the phenomenon of integration and the contagion, the variable used in this study is nothing other than the stock market index. The databases used in this study are daily data of the price of stock indices of 5 developed markets and 5 emerging markets. They have been extracted from the base of the site "Yahoo Finance and economists." These indices cover the period from January 2007 to June 2014, which gives us 2000 Comments by market. The result shows well the significant increase of the coefficient of correlation between stock markets: American, French, Germany and Great Britain during the period of the crisis. We interpret this increase as a proof of the contagion. In the second place, it has tried to apply the theory of cointegration. The results of the cointegration tests show the existence of three cointegrating relationships to the more between the stock markets. The existence of cointegration relationship represents a proof of the contagion and the integration of stock markets. In the third place, it has tried to apply the criterion of the causality between the indices of actions. The result of this test demonstrates the existence of several links of causality between these indices, which confirms the importance of the contagion effect during the crisis.
| Published in | Journal of Finance and Accounting (Volume 4, Issue 2) |
| DOI | 10.11648/j.jfa.20160402.12 |
| Page(s) | 33-46 |
| Creative Commons |
This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited. |
| Copyright |
Copyright © The Author(s), 2016. Published by Science Publishing Group |
Financial Markets, Integration, Contagion, Causality, Crisis
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APA Style
Samout Ammar. (2016). Impact of the Global Crisis of the Subprime on the Current Stock Price. Journal of Finance and Accounting, 4(2), 33-46. https://doi.org/10.11648/j.jfa.20160402.12
ACS Style
Samout Ammar. Impact of the Global Crisis of the Subprime on the Current Stock Price. J. Finance Account. 2016, 4(2), 33-46. doi: 10.11648/j.jfa.20160402.12
AMA Style
Samout Ammar. Impact of the Global Crisis of the Subprime on the Current Stock Price. J Finance Account. 2016;4(2):33-46. doi: 10.11648/j.jfa.20160402.12
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Download@article{10.11648/j.jfa.20160402.12,
author = {Samout Ammar},
title = {Impact of the Global Crisis of the Subprime on the Current Stock Price},
journal = {Journal of Finance and Accounting},
volume = {4},
number = {2},
pages = {33-46},
doi = {10.11648/j.jfa.20160402.12},
url = {https://doi.org/10.11648/j.jfa.20160402.12},
eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.jfa.20160402.12},
abstract = {The present study is therefore based on the determination of the behavior of stock markets during the period of the subprime crisis via the phenomenon of integration and the contagion, the variable used in this study is nothing other than the stock market index. The databases used in this study are daily data of the price of stock indices of 5 developed markets and 5 emerging markets. They have been extracted from the base of the site "Yahoo Finance and economists." These indices cover the period from January 2007 to June 2014, which gives us 2000 Comments by market. The result shows well the significant increase of the coefficient of correlation between stock markets: American, French, Germany and Great Britain during the period of the crisis. We interpret this increase as a proof of the contagion. In the second place, it has tried to apply the theory of cointegration. The results of the cointegration tests show the existence of three cointegrating relationships to the more between the stock markets. The existence of cointegration relationship represents a proof of the contagion and the integration of stock markets. In the third place, it has tried to apply the criterion of the causality between the indices of actions. The result of this test demonstrates the existence of several links of causality between these indices, which confirms the importance of the contagion effect during the crisis.},
year = {2016}
}
TY - JOUR T1 - Impact of the Global Crisis of the Subprime on the Current Stock Price AU - Samout Ammar Y1 - 2016/03/10 PY - 2016 N1 - https://doi.org/10.11648/j.jfa.20160402.12 DO - 10.11648/j.jfa.20160402.12 T2 - Journal of Finance and Accounting JF - Journal of Finance and Accounting JO - Journal of Finance and Accounting SP - 33 EP - 46 PB - Science Publishing Group SN - 2330-7323 UR - https://doi.org/10.11648/j.jfa.20160402.12 AB - The present study is therefore based on the determination of the behavior of stock markets during the period of the subprime crisis via the phenomenon of integration and the contagion, the variable used in this study is nothing other than the stock market index. The databases used in this study are daily data of the price of stock indices of 5 developed markets and 5 emerging markets. They have been extracted from the base of the site "Yahoo Finance and economists." These indices cover the period from January 2007 to June 2014, which gives us 2000 Comments by market. The result shows well the significant increase of the coefficient of correlation between stock markets: American, French, Germany and Great Britain during the period of the crisis. We interpret this increase as a proof of the contagion. In the second place, it has tried to apply the theory of cointegration. The results of the cointegration tests show the existence of three cointegrating relationships to the more between the stock markets. The existence of cointegration relationship represents a proof of the contagion and the integration of stock markets. In the third place, it has tried to apply the criterion of the causality between the indices of actions. The result of this test demonstrates the existence of several links of causality between these indices, which confirms the importance of the contagion effect during the crisis. VL - 4 IS - 2 ER -
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