This study examines the cointegration relationship between the S&P 500 and other major stock market indices before, during and after the 2007-2009 financial crisis. This paper examines the S&P 500 and its cointegration relationship with the following indices: Hang Seng, FTSE 100, DAX, Nikkei 225, CAC 40, IPC, TSX 60 and Merval Buenos Aires. The augmented Dickey-Fuller test (ADF) is used to test the cointegration between the major stock market indices. It is found that the majority of the indices were cointegrated with the S&P 500 before and during the crisis and were not cointegrated after the crisis.
Julie Fremante. "The Effects of the 2007-2009 Financial Crisis on the Cointegration Relationship between Stock Market." Proceedings of the New York State Economics Association. vol. 6, October 2013, p. 39-47
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