CORRELATION OF DJIA, DAX AND BET INDEXES UNDER NORMAL CIRCUMSTANCES AND DURING A FINANCIAL CRISIS SITUATION

Authors

• Mihai Cristian

Abstract

Up until the 80’s, financial crises were considered to be limited to the level of capital markets (therefore individual), without any systemic implications. In the 90’s however we witnessed important financial crises: The European Monetary System, (1992), the crisis in Mexico (1994-1995), Asia (1997-1998), Russia (1998), Brazil (1999), Argentina (2001) and the most important crisis since World War 2, the financial crisis that took off in the United States in 2007. The intensification effect of the globalized economy led to a higher degree of commercial and financial integration of states all over the world. Thus, gradually, local financial crises propagated to the level of the world financial system. Relevant in that regard are several difficult episodes that had a powerful effect on the capital market, especially after the 80’s: the crisis of the European Monetary System, (1992), the Tequila crisis (Mexico 1994-1995), the Asian crisis (1997-1998), the Russian crisis (1998), the crisis in Brazil (1999), the crisis in Argentina (2001).

Keywords: crisis, risk, Markovity model, Johansen test, Granger

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APA: Mihai Cristian (2012). CORRELATION OF DJIA, DAX AND BET INDEXES UNDER NORMAL CIRCUMSTANCES AND DURING A FINANCIAL CRISIS SITUATION. Internal Auditing & Risk Management, Vol. 27, No. 27, pp. 27-40.

BibTeX:

@article{mihaicristian2012445,
  title = {CORRELATION OF DJIA, DAX AND BET INDEXES UNDER NORMAL CIRCUMSTANCES AND DURING A FINANCIAL CRISIS SITUATION},
  author = {Mihai Cristian},
  journal = {Internal Auditing & Risk Management},
  year = {2012},
  volume = {27},
  pages = {27----40},
  doi = {}
}

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