http://en.agi.or.jp/workingpapers/WP2003-06.pdf

Stock market integration in ASEAN after the Asian financial crisis

Using the eigenvalues and eigenvectors of correlations matrices of some of the main financial market indices in the world, we show that high volatility of markets is directly linked with strong correlations between them. This means that markets tend to behave as one during great crashes. In order to do so, we investigate financial market crises that occurred in the years 1987 (Black Monday), 1998 (Russian crisis), 2001 (Burst of the dot-com bubble and September 11), and 2008 (Subprime Mortgage Crisis), which mark some of the largest downturns of financial markets in the last three decades.

Correlation of financial markets in times of crisis

Wonsik Sul

Papers

The Asian financial crisis and the co-movement of Asian stock markets

On the performance of the foreign subsidiaries of Korean banks: are securities investments really profitable?