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Common Information in a Common Market? Variance Changes in European Capital Markets

Author

Listed:
  • Alford, A.
  • Meric, G.
  • Meric, I.

Abstract

International finance theory argues that integrated markets are priced using common information. In this study, we search twelve European Capital Markets for breakpoints in the way assets are priced and correlate these dates to events in each country. Our analysis shows that the events are related primarily to domestic events, not pan-European events. However, we do find common events for their currency markets. We conclude that domestic factors cannot be ignored even when capital markets are integrating, or even have integrated.

Suggested Citation

  • Alford, A. & Meric, G. & Meric, I., 1998. "Common Information in a Common Market? Variance Changes in European Capital Markets," Papers 98-1, Melbourne - Centre in Finance.
    • Handle: RePEc:fth:melrfi:98-1
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    More about this item

    Keywords

    CAPITAL MARKET ; INFORMATION;

    JEL classification:

    • C29 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Other
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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