International Stock Market Co movements and the Global Financial Crisis

International Stock Market Co-movements and The Global Financial Crisis Petr Poldauf May 16, 2011 Abstract This thesis investigates development of co-movements among international equity returns at the market and industry level over the period 2000 - 2010. Emphasis is put on the influence of the Global Financial Crisis of 2008/2009. We analyze daily data from major markets in Australia, Brazil, Canada, China, Germany, Japan, Russia, South Africa, the UK, and the USA using GARCH family of models. We find that there are still weakly correlated markets and the influence of the Crisis differs from country to country. The sectoral indices, including the financial sector, were significantly less correlated than the market indices over the whole period.