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How Short And Long Term Interdependencies Have Changed Due To The Global Financial Crisis, Lungowe Andala

Theses : Honours

This study investigates how short and long term interdependencies have changed among ten countries grouped into countries from the same region (close geographical proximity) as a result of the recent Global Financial Crisis. A number of econometrics methodologies are employed in doing the analysis. Johansen's cointegration methodology is carried out to assess whether the stock markets have long run interdependencies and whether these interdependencies have changed as a result of the Global Financial Crisis. For the stock markets not cointegrated Granger Causality is carried out to analyze short run interdependencies between pairs of stock markets. Furthermore, generalized Impulse Response Function …