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Common Stochastic Trends and Convergence of European Union Stock Markets

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Author Info
Serletis, Apostolos
King, Martin

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Abstract

Using data obtained from the OECD's monthly economic indicators, the authors convert measures of stock performance to real Deutschemark units and present evidence on the number of common stochastic trends in ten EU stock markets. Moreover, they measure the degree of convergence of these stock markets using the time-varying parameter (Kalman filter) methodology suggested by A. G. Haldane and S. G. Hall (1991). Copyright 1997 by Blackwell Publishers Ltd and The Victoria University of Manchester

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Publisher Info
Article provided by Blackwell Publishing in its journal The Manchester School of Economic & Social Studies.

Volume (Year): 65 (1997)
Issue (Month): 1 (January)
Pages: 44-57
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Handle: RePEc:bla:manch2:v:65:y:1997:i:1:p:44-57

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  1. Anne Neumann & Boriss Siliverstovs & Christian von Hirschhausen, 2006. "Convergence of European spot market prices for natural gas? A real-time analysis of market integration using the Kalman Filter," Applied Economics Letters, Taylor and Francis Journals, vol. 13(11), pages 727-732, September. [Downloadable!] (restricted)
  2. Chris Higson & Sean Holly & Ivan Petrella, 2009. "The Financial Integration of the European Union: Common and Idiosyncratic Drivers," Working Paper / FINESS 1.1d, DIW Berlin, German Institute for Economic Research. [Downloadable!]
  3. Eleni Constantinou & Avo Kazandjian & George Kouretas & Vera Tahmazian, 2005. "Common Stochastic Trends among the Cyprus Stock Exchange and the ASE, LSE and NYSE," Working Papers 0520, University of Crete, Department of Economics. [Downloadable!]
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  4. Guneratne Banda Wickremasinghe, 2004. "Efficiency Of Foreign Exchange Markets: A Developing Country Perspective," International Finance 0406004, EconWPA. [Downloadable!]
  5. Dimitris Georgoutsos & George Kouretas, 2001. "Common Stochastic Trends In International Stock Markets: Testing In An Integrated Framework," Working Papers 0104, University of Crete, Department of Economics. [Downloadable!]
  6. Raj Aggarwal & Brian M. Lucey & Cal Muckley, 2004. "Dynamics of Equity Market Integration in Europe: Evidence of Changes over time and with events," The Institute for International Integration Studies Discussion Paper Series iiisdp019, IIIS. [Downloadable!]
  7. Chanwit Phengpis, 2006. "Are emerging stock market price indices really stationary?," Applied Financial Economics, Taylor and Francis Journals, vol. 16(13), pages 931-939, September. [Downloadable!] (restricted)
  8. Eleni Constantinou & Avo Kazandjian & George Kouretas & Vera Tahmazian, 2005. "Cointegration, causality and domestic portfolio diversification in the Cyprus Stock Exchange," Working Papers 0522, University of Crete, Department of Economics. [Downloadable!]
  9. Bank for International Settlements, 2008. "Assessing the integration of Asia's equity and bond markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Regional financial integration in Asia: present and future, volume 42, pages 1-37 Bank for International Settlements. [Downloadable!]
  10. Brian M Lucey & Suk-Joong Kim & Eliza Wu, 2005. "Dynamics of Bond Market Integration between Existing And Accession EU Countries," The Institute for International Integration Studies Discussion Paper Series iiisdp025, IIIS. [Downloadable!]
  11. Theodore Syriopoulos, 2004. "International portfolio diversification to Central European stock markets," Applied Financial Economics, Taylor and Francis Journals, vol. 14(17), pages 1253-1268, November. [Downloadable!] (restricted)
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