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L’intégration des marchés financiers

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Author Info
José Soares Fonseca () (GEMF and Faculdade de Economia, Universidade de Coimbra)

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Abstract

Dans cette recherche est présenté un “survey” de la théorie sur l’intégration des marchés financiers, suivi de l’analyse empirique sur l’intégration des indices nationaux de seize pays européens dans le « marché européen d’actions », représenté alternativement par ls indices EMU et Europe. Une méthode de co-intégration fut utilisée, qui permît de classifier les indices nationaux dans différents degrés d’intégration au niveau européen : ceux qui sont parfaitement co-intégrés avec les indices européens et ceux qui présentent, par rapport à ces derniers, des relations stationnaires de long terme, mais pas de co-intégration.

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Publisher Info
Paper provided by GEMF - Faculdade de Economia, Universidade de Coimbra in its series GEMF Working Papers with number 2006-06.

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Length: 40 pages
Date of creation: 2006
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Handle: RePEc:gmf:wpaper:2006-06

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Related research
Keywords: North growth

Find related papers by JEL classification:
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
R10 - Urban, Rural, and Regional Economics - - General Regional Economics - - - General

References listed on IDEAS
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  1. Davis, E Philip, 1999. "Institutionalization and EMU: Implications for European Financial Markets," International Finance, Blackwell Publishing, vol. 2(1), pages 33-61, April. [Downloadable!] (restricted)
  2. Solnik, Bruno H., 1974. "An equilibrium model of the international capital market," Journal of Economic Theory, Elsevier, vol. 8(4), pages 500-524, August. [Downloadable!] (restricted)
  3. Adjaoute, Kpate & Danthine, Jean-Pierre, 2001. "Portfolio Diversification: Alive and Well in Euroland!," CEPR Discussion Papers 3086, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  4. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December. [Downloadable!] (restricted)
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