Stock Market Integration And European Monetary Union
AbstractWe evaluate changes in international spillovers of equity price shocks with EMU by estimating BEKK-GARCH models over 1993-98 and 1999-2004. Results are consistent with EMU market integration via sectoral allocation, but not autonomy from the external influence of the US.
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Bibliographic InfoPaper provided by Economics and Finance Section, School of Social Sciences, Brunel University in its series Economics and Finance Discussion Papers with number 05-19.
Length: 10 pages
Date of creation: Oct 2005
Date of revision:
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Postal: Brunel University, Uxbridge, Middlesex UB8 3PH, UK
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-11-05 (All new papers)
- NEP-CFN-2005-11-05 (Corporate Finance)
- NEP-EEC-2005-11-05 (European Economics)
- NEP-FIN-2005-11-05 (Finance)
- NEP-FMK-2005-11-05 (Financial Markets)
- NEP-MAC-2005-11-05 (Macroeconomics)
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