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European Sector Returns and Capital Market Integration

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  • Yonghyup Oh

Abstract

The paper tests European capital market integration at the sector level. It examines the recent trend of sector‐level returns for four European countries, France, Germany, Italy, and the UK, using “return on assets” of a panel of listed firms of these countries for the period 1988–95. Initial findings suggest that sector returns have converged across countries over time. However, when integration is tested within a capital‐asset pricing model framework, the country effect remains strong. The overall results support the view that European capital market integration is under way, but is far from complete.

Suggested Citation

  • Yonghyup Oh, 2003. "European Sector Returns and Capital Market Integration," Review of International Economics, Wiley Blackwell, vol. 11(3), pages 527-540, August.
    • Handle: RePEc:bla:reviec:v:11:y:2003:i:3:p:527-540
    DOI: 10.1111/1467-9396.00400
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    References listed on IDEAS

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    1. Rene M. Stulz, 1999. "Globalization of Equity Markets and the Cost of Capital," NBER Working Papers 7021, National Bureau of Economic Research, Inc.
    2. Portes, Richard & Rey, Hélène, 2000. "The Determinants of Cross-Border Equity Flows: The Geography of Information," Center for International and Development Economics Research, Working Paper Series qt51w4v95p, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley.
    3. Portes, Richard & Rey, Helene, 2005. "The determinants of cross-border equity flows," Journal of International Economics, Elsevier, vol. 65(2), pages 269-296, March.
    4. Gikas A. Hardouvelis & Dimitrios Malliaropulos & Richard Priestley, 2006. "EMU and European Stock Market Integration," The Journal of Business, University of Chicago Press, vol. 79(1), pages 365-392, January.
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    Cited by:

    1. Robertson, Raymond, 2004. "Defining North American Economic Integration," North American Agrifood Integration: Situation and Perspectives, May 2004, Cancun, Mexico 16732, Farm Foundation.

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