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Stock Market Integration And European Monetary Union

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Author Info
E Philip Davis ()
CHRISTOS IOANNIDIS
NICOLA SPAGNOLO

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Abstract

We 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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File URL: http://www.brunel.ac.uk/329/efwps/05-19.pdf
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Publisher Info
Paper provided by Economics and Finance Section, School of Social Sciences, Brunel University in its series Economics and Finance Discussion Papers with number 05-19.

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Length: 10 pages
Date of creation: Oct 2005
Date of revision:
Handle: RePEc:bru:bruedp:05-19

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Postal: Brunel University, Uxbridge, Middlesex UB8 3PH, UK

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  1. Billio, Monica & Pelizzon, Loriana, 2003. "Volatility and shocks spillover before and after EMU in European stock markets," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 323-340, December. [Downloadable!] (restricted)
  2. Tim Bollerslev & Jeffrey Wooldridge, 1992. "Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances," Econometric Reviews, Taylor and Francis Journals, vol. 11(2), pages 143-172. [Downloadable!] (restricted)
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This page was last updated on 2009-11-13.

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