Integration of Global Financial Markets around Global Financial Crisis: An Econometric Analysis of Major Stock Markets in US & Asia Flora Preeti, Research Scholar, Agrawal Gaurav, Assistant Professor ABV-Indian Institute of Information Technology & Management, Gwalior, India Online published on 5 July, 2014. Abstract An increase in the interdependency among the stock markets globally results impacts the investors worldwide on their assets allocation decision. This current study is an attempt to examine the inter-market relationships between the selected Asian and the US stock markets around the global financial crisis. It helps in identifying whether the pattern of integration among these markets changes due to the financial crisis by examining the existence of long run relationship between the indices during the Pre-Crisis, Crisis, and Post-Crisis period using Johansen Co-integration analysis. In Asia, BSE (India), NIKKEI (Japan), HSI (China) have been included since they are considered to be the major market exchanges in Asia. Similarly for United States (US), NASDAQ, NYSE, DJIA have been selected. The data used for analysis is selected around the 2007/2008 Global Financial Crisis (GFC). In order to check for stationary, unit root tests namely Augmented Dickey Fuller Test (ADF-Test) and Phillips-Perron (PP-Test) have been used. The findings of the study indicate that the stock markets have been found to be more co-integrated in the during the crisis period as compared to the pre-crisis period and post period. Top Keywords Stock Markets, Global Financial Crisis, Stationarity, Cointegration, Unit Root Test. Top |