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The impact of the euro on equity markets: a country and sector decomposition

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  • Cappiello, Lorenzo
  • Kadareja, Arjan
  • Manganelli, Simone

Abstract

This 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 Info

Paper provided by European Central Bank in its series Working Paper Series with number 0906.

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Date of creation: Jun 2008
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Handle: RePEc:ecb:ecbwps:20080906

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Related research

Keywords: conditional comovements; euro; National and industry equity returns; regression quantiles;

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Cited by:
  1. Bris, Arturo & Koskinen, Yrjö & Nilsson, Mattias, 2011. "The euro and corporate financing," Research Discussion Papers 6/2011, Bank of Finland.
  2. 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.

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