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Financial Market Integration in Europe: On the Effects of EMU on Stock Markets

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Author Info

  • Fratzscher, M.

Abstract

This paper analyzes the integration process of European equity markets since the 1980s. Its central focus is on the role that EMU, and specifically, changes in exchange rate volatility, has played in this process of financial integration.

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Bibliographic Info

Paper provided by Quebec a Montreal - Recherche en gestion in its series Papers with number 48.

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Length: 44 pages
Date of creation: 2001
Date of revision:
Handle: RePEc:fth:uqamge:48

Contact details of provider:
Postal: Canada; Universite du Quebec a Montreal, Centre de recherche en gestion. Case postale 8888, succursale A, Montreal (Quebec) Canada H3C 3P8

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Keywords: ECONOMIC INTEGRATION ; FINANCIAL POLICY ; EXCHANGE RATE ; ECONOMIC MODELS;

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References

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  1. Frankel, Jeffrey A. & Rose, Andrew K., 1997. "Is EMU more justifiable ex post than ex ante?," European Economic Review, Elsevier, Elsevier, vol. 41(3-5), pages 753-760, April.
  2. Jeffrey A. Frankel and Alan T. MacArthur., 1987. "Political vs. Currency Premia in International Real Interest Differentials: A Study of Forward Rates for 24 Countries," Economics Working Papers, University of California at Berkeley 8762, University of California at Berkeley.
  3. Campbell, John Y. & Hentschel, Ludger, 1992. "No news is good news *1: An asymmetric model of changing volatility in stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 31(3), pages 281-318, June.
  4. Hartmann, P. & Straetmans, S. & De Vries, C.G., 2001. "Asset Market Linkages in Crisis Periods," Papers, Quebec a Montreal - Recherche en gestion 71, Quebec a Montreal - Recherche en gestion.
  5. Hardouvelis, Gikas A & Malliaropoulos, Dimitrios & Priestley, Richard, 1999. "EMU and European Stock Market Integration," CEPR Discussion Papers, C.E.P.R. Discussion Papers 2124, C.E.P.R. Discussion Papers.
  6. Cambell, J.Y. & Hentschel, L., 1990. "An Asymmetric Model Of Changing Volatility In Stock Returns," Papers, Princeton, Department of Economics - Financial Research Center 118, Princeton, Department of Economics - Financial Research Center.
  7. Ilan Goldfajn & Taimur Baig, 1999. "Financial market contagion in the Asian crisis," Textos para discussão, Department of Economics PUC-Rio (Brazil) 400, Department of Economics PUC-Rio (Brazil).
  8. Jose A. Lopez, 2000. "Volatility spillovers in the U.S. Treasury market," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco, issue feb18.
  9. Chen, Zhiwu & Knez, Peter J, 1995. "Measurement of Market Integration and Arbitrage," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 8(2), pages 287-325.
  10. Olan Henry, 1998. "Modelling the asymmetry of stock market volatility," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 8(2), pages 145-153.
  11. Bekaert, Geert & Wu, Guojun, 2000. "Asymmetric Volatility and Risk in Equity Markets," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 13(1), pages 1-42.
  12. Kristin J. Forbes & Roberto Rigobon, 2002. "No Contagion, Only Interdependence: Measuring Stock Market Comovements," Journal of Finance, American Finance Association, American Finance Association, vol. 57(5), pages 2223-2261, October.
  13. Michael J. Fleming & Jose A. Lopez, 1999. "Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market," Staff Reports, Federal Reserve Bank of New York 82, Federal Reserve Bank of New York.
  14. Ferson, Wayne E & Harvey, Campbell R, 1993. "The Risk and Predictability of International Equity Returns," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 6(3), pages 527-66.
  15. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, American Finance Association, vol. 48(5), pages 1779-1801, December.
  16. Bodart, V. & Reding, P., 1998. "Exchange Rate Regime, Volatility and International Correlations on Bond and Stock Markets," Papers, Notre-Dame de la Paix, Sciences Economiques et Sociales 204, Notre-Dame de la Paix, Sciences Economiques et Sociales.
  17. Bayoumi, Tamim & Eichengreen, Barry, 1998. "Exchange Rate Volatility and Intervention: Implications of the Theory of Optimum Currency Areas," CEPR Discussion Papers, C.E.P.R. Discussion Papers 1982, C.E.P.R. Discussion Papers.
  18. Geert Bekaert & Campbell R. Harvey, 1994. "Time-Varying World Market Integration," NBER Working Papers 4843, National Bureau of Economic Research, Inc.
  19. Dumas, Bernard & Solnik, Bruno, 1995. " The World Price of Foreign Exchange Risk," Journal of Finance, American Finance Association, American Finance Association, vol. 50(2), pages 445-79, June.
  20. Harvey, Campbell R, 1991. " The World Price of Covariance Risk," Journal of Finance, American Finance Association, American Finance Association, vol. 46(1), pages 111-57, March.
  21. Frankel, Jeffrey A, 1992. "Measuring International Capital Mobility: A Review," American Economic Review, American Economic Association, American Economic Association, vol. 82(2), pages 197-202, May.
  22. Geert Bekaert & Campbell R. Harvey, 1995. "Emerging Equity Market Volatility," NBER Working Papers 5307, National Bureau of Economic Research, Inc.
  23. David Dickinson, 2000. "Stock market integration and macroeconomic fundamentals: an empirical analysis, 1980-95," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 10(3), pages 261-276.
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