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European Stock Market Fluctuations: Short And Long Term Links

In: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays

Author

Listed:
  • A. G. Malliaris

    (Department of Economics, Loyola University of Chicago, Chicago, IL, USA)

  • Jorge L. Urrutia

    (Department of Finance, Loyola University of Chicago, Chicago, IL, USA)

Abstract

The paper uses a error correcting model to examine long-term links and short-run causality for five major European capital markets. The empirical results report statistically significant relationships. These findings indicate that the European markets tend to move together and adjust to each other's movements. The results imply limitations in the role of portfolio diversification and confirm a high degree of integration among European equity markets.

Suggested Citation

  • A. G. Malliaris & Jorge L. Urrutia, 2005. "European Stock Market Fluctuations: Short And Long Term Links," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 10, pages 137-149, World Scientific Publishing Co. Pte. Ltd..
  • Handle: RePEc:wsi:wschap:9789812701015_0010
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    Keywords

    Asymptotic Economic Growth; Inflation; Interest Rates; Asset Pricing; Equity Markets; Foreign Currency; Monetary Policy; Crash;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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