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The Co-integration of European Stock Markets after the Launch of the Euro

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  • Jos 0053oares da Fonseca

    ()
    (University of Coimbra, Portugal)

Abstract

This article studies the international integration of the national stock markets of sixteen European countries. The international financial market is represented by two indices: a European index and a World index. The methodology of co-integration, used in this article, is the proper econometrical solution for the treatment of non-stationary series as those used in the present research. Complementarily, co-integration offers the possibility of distinguishing the long-term and the short-term interdependence, which very important when the variables are financial market indices. The empirical tests in this research have shown that both European and non European international factors are necessary to explain the international integration of the national stock markets under analysis.

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File URL: http://www.panoeconomicus.rs/casopis/jedanaestibroj/the%20cointegration%20of%20european%20stock%20markets%20after%20the%20launch%20of%20the%20euro.pdf
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Bibliographic Info

Article provided by Savez ekonomista Vojvodine, Novi Sad, Serbia in its journal Panoeconomicus.

Volume (Year): 55 (2008)
Issue (Month): 3 (September)
Pages: 309-324

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Handle: RePEc:voj:journl:v:55:y:2008:i:3:p:309-324

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Web page: http://www.panoeconomicus.rs/

Related research

Keywords: Co-integration; Stock markets; Euro;

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References

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  1. Bekaert, Geert & Harvey, Campbell R, 1995. " Time-Varying World Market Integration," Journal of Finance, American Finance Association, vol. 50(2), pages 403-44, June.
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Cited by:
  1. Rizwan Mushtaq & Syed Zulfiqar Ali Shah, 2014. "International Portfolio Diversification: United States and South Asian Equity Markets," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 61(2), pages 241-252, March.
  2. José Soares da Fonseca, 2012. "The International Integration of the Eastern Europe and two Middle East Stock Markets," GEMF Working Papers 2013-01, GEMF - Faculdade de Economia, Universidade de Coimbra.
  3. Rossella Calvi, 2010. "Assessing financial integration: a comparison between Europe and East Asia," European Economy - Economic Papers 423, Directorate General Economic and Monetary Affairs (DG ECFIN), European Commission.

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