0375580 20240103200730.720120620235959.9 10.1515/1524-5861.1788 21 s. cav_un_epca*03755791524-5861121 (2012)1-21 stock market comovements financial crisis GARCH cav_un_auth*0274257 Horváth Roman Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0281844 Poldauf P. CH http://library.utia.cas.cz/separaty/2012/E/horvath-international stock market comovements what happened during the financial crisis.pdf GA402/09/0965 GA ČR cav_un_auth*0253176 CEZ:AV0Z10750506 We investigate the stock market comovements in Australia, Brazil, Canada, China, Germany, Hong Kong, Japan, Russia, South Africa, the UK, and the USA, both at the market and sectoral level in 2000-2010. Using multivariate GARCH models, our results suggest that the correlation among equity returns during the financial crisis (2008-2010) somewhat increased, suggesting that the crisis represented a common shock to all countries. The U.S. stock market is found to be the most correlated with the stock markets in Brazil, Canada and UK. The correlation of U.S. and Chinese stock market is essentially zero before the crisis; it becomes slightly positive during the crisis. The sectoral indices are less correlated than the market indices over the whole period, but, again, the correlations increase during the crisis. 2013 AH RVO:67985556 http://hdl.handle.net/11104/0208193 1 0.448 Q1 Q1 2012 cav_un_epca*0375579 Global Economy Journal 1524-5861 Roč. 12 č. 1 2012 1 21