<abstract xmlns="http://www.w3.org/1999/xhtml"><p> Empirical studies show that correlation between national stock markets increased and the benefits of global portfolio diversification decreased significantly after the global stock market crash of 1987. The 1987 and 2008 crashes are the two most important global stock market crashes since the 1929 Great depression. Although the effects of the 1987 crash on the comovements of national stock markets have been investigated extensively, the effects of the 2008 crash have not been studied sufficiently. In this paper we study this issue with a research sample that includes the U.S stock market and twenty European stock markets. We find that correlation between the twenty-one stock markets increased and the benefits of portfolio diversification decreased significantly after the 2008 stock market crash.</p></abstract>

Empirical studies show that correlation between national stock markets increased and the benefits of global portfolio diversification decreased significantly after the global stock market crash of 1987. The 1987 and 2008 crashes are the two most important global stock market crashes since the 1929 Great depression. Although the effects of the 1987 crash on the comovements of national stock markets have been investigated extensively, the effects of the 2008 crash have not been studied sufficiently. In this paper we study this issue with a research sample that includes the U.S stock market and twenty European stock markets. We find that correlation between the twenty-one stock markets increased and the benefits of portfolio diversification decreased significantly after the 2008 stock market crash.

Co-Movements Of U.S. And European Stock Markets Before And After The 2008 Gloal Stock Market Crash

Rider University, Lawrenceville, New Jersey, USA

Studies in Business and Economics

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Empirical studies show that correlation between national stock markets increased and the benefits of global portfolio diversification decreased significantly...

Co-Movements Of U.S. And European Stock Markets Before And After The 2008 Gloal Stock Market Crash

Published Online: Sep 25, 2015

Page range: 83 - 98

DOI: https://doi.org/10.1515/sbe-2015-0022

Keywords
European stock markets, portfolio diversification, 2008 stock market crash

© 2015

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Co-Movements Of U.S. And European Stock Markets Before And After The 2008 Gloal Stock Market Crash

Published Online: Sep 25, 2015

Page range: 83 - 98

DOI: https://doi.org/10.1515/sbe-2015-0022

KeywordsEuropean stock markets, portfolio diversification, 2008 stock market crash

© 2015

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Keywords
European stock markets, portfolio diversification, 2008 stock market crash