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The Fall of Lehman: Cross Country Comovement during the Crash of October 2008

Please use this identifier to cite or link to this item: http://hdl.handle.net/1811/45438

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Title: The Fall of Lehman: Cross Country Comovement during the Crash of October 2008
Creators: Wynter, Matthew
Advisor: Stulz, Rene
Issue Date: 2010-05
Abstract: Using the recent Credit Crunch as a global fixed point for international financial markets, this study investigates how the collapse of Lehman, treated as an exogenous shock to the U.S. financial market, caused an increase in international equity market comovement. Using a sample of 47 FTSE equity markets, the study explores how comovement between the US and international markets evolved during the Crash of October 2008. Consistent with predictions of contagion, I find strong evidence of increased comovement when controlling for market fundamentals.
Embargo: A five-year embargo was granted for this item.
Series/Report no.: 2010 Edward F. Hayes Graduate Research Forum. 24th
Keywords: October Crash
Asset Pricing
International Finance
Contagion
Bank Panic
Finance and Public Policy
Description: Business: 2nd Place (The Ohio State University Edward F. Hayes Graduate Research Forum)
URI: http://hdl.handle.net/1811/45438
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