engleski

Equity returns before and after the 2007-08 financial crisis: A study of spillovers among major equity markets of Europe and the USA

This paper investigates the linkages among equity market returns before and after the 2007- 08 crisis using exchange traded funds (ETFs) in Germany, France, Italy, UK and the USA. Daily data used from January 2005- September 2007 and July 2009- July 2010 and apply to a Multivariate Autoregressive Moving Average model (MARMA). The data are diveded into two separate periods: before the 2007-08 financial crisis and after the crisis. The results show the existence of significant co-movement of returns in all selected periods although some important differences before and after the financial crisis are noted such as marked increases in the integration of the markets and hence diminishing diversification opportunities for investors over time. Implications for the critical importance of understanding the transmission process between markets for risk management and economic policy are indicated.

co-movement of returns, portfolio diversification, exchange traded funds

An earlier and more comprehensive version of this paper was published in 2017 by “Zagreb International Review of Economics and Business” See Dedi & Yavas, 2017.