The present study is therefore based on the determination of the behavior of stock markets during the period of the subprime crisis via the phenomenon of integration and the contagion, the variable used in this study is nothing other than the stock market index. The databases used in this study are daily data of the price of stock indices of 5 developed markets and 5 emerging markets. They have been extracted from the base of the site "Yahoo Finance and economists." These indices cover the period from January 2007 to June 2014, which gives us 2000 Comments by market. The result shows well the significant increase of the coefficient of correlation between stock markets: American, French, Germany and Great Britain during the period of the crisis. We interpret this increase as a proof of the contagion. In the second place, it has tried to apply the theory of cointegration. The results of the cointegration tests show the existence of three cointegrating relationships to the more between the stock markets. The existence of cointegration relationship represents a proof of the contagion and the integration of stock markets. In the third place, it has tried to apply the criterion of the causality between the indices of actions. The result of this test demonstrates the existence of several links of causality between these indices, which confirms the importance of the contagion effect during the crisis.
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