The impact of the euro on equity markets: a country and sector decomposition
AbstractThis paper investigates whether comovements between euro area equity returns at national and industry level have changed after the introduction of the euro. By adopting a regression quantile-based methodology, we find that after 1999 the degree of comovements among euro area national equity markets has augmented. By explicitly controlling for the impact of global factors, we show that this result cannot be explained away by recent world-wide trends. A more refined analysis based on an industry breakdown suggests that the increase in national index comovements is mainly driven by financial, industrials and consumer services sectors. JEL Classification: F36, G15, C22
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Bibliographic InfoPaper provided by European Central Bank in its series Working Paper Series with number 0906.
Date of creation: Jun 2008
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Find related papers by JEL classification:
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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- Bris, Arturo & Koskinen, Yrjö & Nilsson, Mattias, 2011.
"The euro and corporate financing,"
Research Discussion Papers
6/2011, Bank of Finland.
- Matthieu Bussiere & Alexander Chudik & Arnaud Mehl, 2011.
"How have global shocks impacted the real effective exchange rates of individual Euro area countries since the Euro's creation?,"
Globalization and Monetary Policy Institute Working Paper
102, Federal Reserve Bank of Dallas.
- Bussiere Matthieu & Chudik Alexander & Mehl Arnaud, 2013. "How have global shocks impacted the real effective exchange rates of individual euro area countries since the euro’s creation?," The B.E. Journal of Macroeconomics, De Gruyter, vol. 13(1), pages 48, April.
- Bussière, M. & Chudik, A. & Mehl, A., 2011. "How have global shocks impacted the real effective exchange rates of individual euro area countries since the euro's creation?," Working papers 336, Banque de France.
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