Download Article 49.07 Kb

Co-Movements of European Equity Markets Before and After the 1987 Crash

Multinational Finance Journal, 1997, vol. 1, no. 2, pp. 137-152
Gulser Meric , Rowan University, U.S.A.

Abstract:
This article studies the changes in the co-movements of the twelve largest European equity markets after the 1987 international equity market crash. Tests based on Box M and principal component analysis indicate that the comovements of these equity markets changed significantly after the crash. Low correlations among national equity markets are often presented as evidence in support of the benefits of international portfolio diversification. The findings indicate that correlations among the twelve largest European equity markets and between these equity markets and the U.S. equity market increased substantially; therefore, the benefits of international diversification with these twelve European equity markets decreased considerably after the crash

Keywords : correlation of returns; Box M analysis; European equity markets co-movements; principal component analysis
View in Bib TeX Format      View Cite Format 1      View Cite Format 2