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The stock market impact of German reunification: international evidence

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  • Robert Brooks
  • Robert Faff
  • David Sokulsky

Abstract

This study uses a country beta market model and a multivariate GARCH conditional beta model to examine if German reunification has impacted upon country returns, across different nations. The results suggest a stronger reaction in European countries particularly those with closer economic links. The analysis also revealed that the most significant individual events occur in August 1990.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 15 (2005)
Issue (Month): 1 ()
Pages: 31-42

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Handle: RePEc:taf:apfiec:v:15:y:2005:i:1:p:31-42

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  1. Ghosh, A.R. & Wolf, H.C., 1996. "On the Mark(s) Optimim Currency Areas in Germany," Working Papers 96-02, New York University, Leonard N. Stern School of Business, Department of Economics.
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  3. Hughes Hallett, A J & Ma, Yue, 1993. "East Germany, West Germany, and Their Mezzogiorno Problem: A Parable for European Economic Integration," Economic Journal, Royal Economic Society, vol. 103(417), pages 416-28, March.
  4. R. D. Brooks & R. W. Faff & M. McKenzie, 2002. "Time varying country risk: an assessment of alternative modelling techniques," The European Journal of Finance, Taylor & Francis Journals, vol. 8(3), pages 249-274.
  5. Campbell R. Harvey & Guofu Zhou, 1993. "International asset pricing with alternative distributional specifications," CEMA Working Papers 277, China Economics and Management Academy, Central University of Finance and Economics.
  6. Gwyn Adams & Lewis Alexander & Joseph Gagnon, 1992. "German unification and the European monetary system: a quantitative analysis," International Finance Discussion Papers 421, Board of Governors of the Federal Reserve System (U.S.).
  7. Collier, Irwin L. & Siebert, Horst, 1991. "The economic integration of post-wall Germany," Kiel Working Papers 462, Kiel Institute for the World Economy.
  8. Koutmos, Gregory & Lee, Unro & Theodossiu, Panayiotis, 1994. "Time-varying betas and volatility persistence in International Stock markets," Journal of Economics and Business, Elsevier, vol. 46(2), pages 101-112, May.
  9. Greenslade, Jennifer V. & Hall, Stephen G., 1996. "Modelling economies subject to structural change: The case of Germany," Economic Modelling, Elsevier, vol. 13(4), pages 545-559, October.
  10. Edward H. Gardner & William R. M. Perraudin, 1993. "Asymmetry in the ERM: A Case Study of French and German Interest Rates Before and After German Unification," IMF Staff Papers, Palgrave Macmillan, vol. 40(2), pages 427-450, June.
  11. Hughes Hallett, A & Ma, Y & Melitz, J, 1995. "Unification and the Policy Predicament in Gemany," Papers 01, American Institute for Contemporary German Studies-.
  12. Brakman, Steven & Garretsen, Harry, 1993. "The Relevance of Initial Conditions for the German Unification," Kyklos, Wiley Blackwell, vol. 46(2), pages 163-81.
  13. George A. Akerlof & Andrew K. Rose & Janet L. Yellen & Helga Hessenius, 1991. "East Germany in from the Cold: The Economic Aftermath of Currency Union," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 22(1), pages 1-106.
  14. Hallett, A. J. Hughes & Ma, Yue, 1994. "Real adjustment in a union of incompletely converged economies: An example from East and West Germany," European Economic Review, Elsevier, vol. 38(9), pages 1731-1761, December.
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