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Emerging Markets and the Global Economy by Duc Khuong Nguyen, Sabri Boubaker, Mohammed Hedi Arouri

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Chapter 33

Correlation and Network Structure of International Financial Markets in Times of Crisis

Leonidas Sandoval,    Insper Instituto de Ensino e Pesquisa, Brazil,    E-mail: leonidassj@insper.org.br

Abstract

The chapter considers the correlation, volatility, and clustering structure of the benchmark indices of the main stock exchanges in the world. The importance of understanding how stock markets relate to each other, and which ones are the most connected, is of paramount importance to the study of how crises develop and propagate. We focus on the largest worldwide crisis in the last two decades, which started with the USA subprime mortgage crisis of 2008, and continued to the Credit Crisis in Europe (2009–2012). The data consists on 79 ...

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