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For this paper, we dynamically analysed the comovements between three major stock markets—Germany, the UK, and the US—and the countries of the European Union, divided into two groups: Eurozone and non-Eurozone. Correlation coefficients based on a detrended cross-correlation analysis (DCCA) were used, and the respective temporal variation was evaluated. Given the objective of performing a dynamic analysis, sliding windows were used in an attempt to represent short and long-term analyses. Critical moments in financial markets worldwide were also taken into account, namely the subprime debt crisis, the sovereign debt crisis, and Brexit. The results suggest that Germany and other Eurozone countries generally share high levels of comovements, although the Brexit decision reduced those connections. The subprime crisis also increases comovements among markets.

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This paper aims to analyse the connectivity of 13 stock markets, between 1998 and 2019, with a time-varying proposal, to evaluate evolution of the linkage between these markets over time. To do so, we propose to use a network built based on the correlation coefficients from the Detrended Cross-Correlation Analysis, using a sliding windows approach. Besides allowing for analysis over time, our approach also enables us to verify how the network behaves for different time scales, which enriches the analysis. We use two different properties of networks: global efficiency and average grade, to measure the network’s connectivity over time. We find that the markets under analysis became more connected before the subprime crisis, with this behavior extending even after the Eurozone crisis, showing that during extreme events there is an increase in financial risk, as found in the international literature.

In this paper, we examine the effects of subprime crisis on the largest African stock markets (South Africa, Nigeria, Egypt, and Morocco) by testing the fractal market hypothesis. We use a rolling window Multifractal Detrended Fluctuation Analysis, and find decline in local Hurst exponent and an increase in short-term trading activity for all considered stock markets during the global financial crisis. We furthermore investigate the interrelationships of African and the American stock markets using multi-scale contagion test. Findings suggest that the cross-correlation of African stock markets increases with American markets becoming higher during the crisis sub-period. However, the presence of contagion or interdependence effects are country and time horizon-dependent. Implications of the results are discussed.

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