Integration of Financial Markets in Post Global Financial Crises and Implications for British Financial Sector: Analysis Based on A Panel VAR Model

Nasir, Muhammad Ali; Du, Min

Abstract

This study analyses the dynamics of integration among global financial markets in the context of Global Financial Crisis (2008) by employing a Panel Vector Autoregressive (VAR) model on the monthly data of nine countries and three markets from Jan 2003 to Oct 2015. It was found that there has been a shift in the association among the global financial markets since Global Financial Crisis (GFC). Moreover, the British financial sectors in Post- GFC world clearly showed a change in the association with the global financial sectors. Particularly, the emerging markets including China, Brazil and India showed a comparatively more significant impact on the UK financial sector implying the increased importance of the latter in the recent past. The German and USA financial sector also showed a change in its impact in the Post-GFC world. It showed that Germany and USA financial sectors have become competitive to the UK financial Sector as the surge in them lead to a relative response from the UK financial sector which could be associated with the portfolio adjustment.

Citation

Nasir, M. A., & Du, M. (2018). Integration of Financial Markets in Post Global Financial Crises and Implications for British Financial Sector: Analysis Based on A Panel VAR Model. Journal of Quantitative Economics, 16(2), 363-388. https://doi.org/10.1007/s40953-017-0087-2

• Journal Article Type: Article
• Online Publication Date: Mar 29, 2017
• Publication Date: 2018-06
• Deposit Date: Dec 10, 2021
• Publicly Available Date: Dec 13, 2021
• Journal: Journal of Quantitative Economics
• Print ISSN: 0971-1554
• Electronic ISSN: 2364-1045
• Publisher: Springer
• Peer Reviewed: Peer Reviewed
• Volume: 16
• Issue: 2
• Pages: 363-388
• DOI: https://doi.org/10.1007/s40953-017-0087-2
• Keywords: Financial markets, Financial integration, Global financial crises, Panel VAR model
• Public URL: http://researchrepository.napier.ac.uk/Output/2828602