https://jfi.aof-mbaa.org/index.php/jfi/issue/feed Journal of Finance Issues 2022-01-29T11:40:24-08:00 Hongbok Lee h-lee@wiu.edu Open Journal Systems <p>The Journal is a double-blind reviewed journal that is listed in Cabell's Directories. The Journal was founded by members of the Academy of Finance (AOF), which is one of twelve affiliated organizations that meet annually in Chicago, IL at the Midwest Business Administration Association (MBAA) meetings in the late winter or early spring. While some of the papers submitted to the Journal are papers that were presented at the MBAA/AOF conference and later improved based upon the feedback received at the meetings, the Journal is open to all submissions from authors outside of the AOF membership. No preference is given to papers that were submitted by members over those submitted by non-members. </p> https://jfi.aof-mbaa.org/index.php/jfi/article/view/2221 Developed Stock Market Integration: New Evidence from the Pre- and Post-Financial Crisis of 2007-2009 2022-01-29T11:40:24-08:00 Carol Bruce-Tagoe cobrucetagoe@eiu.edu Ingyu Chiou ichiou@eiu.edu <p class="p1">This paper studies the interdependence between the U.S. and four other developed stock markets in Canada, Japan, Sweden, and the UK. Specifically, we investigate how the 2007-2009 financial crisis influenced the dynamics of stock market integration among five developed countries by analyzing the short-run and long-run effects of the crisis over two sample periods: pre-crisis and post-crisis. We employ the Johansen co-integration test to verify cointegration and the Vector Error Correction Model (VECM) to examine the short-run and long-run relationships among five national stock markets. The results of co-integration tests confirm the presence of co-integration in both sample periods. The short-run VECM results indicate a significant influence of the U.S. market on four other markets in both periods, suggesting that little diversification benefits exist in the short-run. The pre-crisis long-run results demonstrate significant cointegrating relationships between the U.S. market and each of three markets (in Canada, Japan, and Sweden). The insignificant cointegrating relationship between the UK and U.S. markets in the pre-crisis period, however, becomes significant in the post-crisis period. In contrast, the Japanese stock market, which was initially cointegrated with the U.S. market in the pre-crisis period, loses its cointegrating relationship with the U.S. market in the post-crisis period. Overall, our findings confirm that major national equity markets are, to varying degrees, interdependent in both the short-run and long-run. We also find that a negative shock such as a financial crisis may significantly change the co-movements among national stock markets.&nbsp;</p> 2021-06-30T00:00:00-07:00 Copyright (c) 2022 Journal of Finance Issues