Joseph Friedman () (Department of Economics, Temple University) Yochanan Shachmurove () (Departments of Economics, City College of The City University of New York and University of Pennsylvania)
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This paper addresses the following questions: Are the major European stock markets more integrated after the introduction of the Euro? How much of the change in the stock indices in different European countries can be attributed to innovations in other markets? How fast are events occurring in one European market transmitted to other markets? Vector Auto Regression models, impulses responses and variance decomposition are used to ascertain the stock market dynamics before and after the introduction of the Euro. The paper presents evidence of further integration of the European stock markets after the introduction of the Euro.
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Paper provided by Penn Institute for Economic Research, Department of Economics, University of Pennsylvania in its series PIER Working Paper Archive with number
05-028.
Find related papers by JEL classification: F - International Economics G - Financial Economics C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables C5 - Mathematical and Quantitative Methods - - Econometric Modeling E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
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References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
Sims, Christopher A, 1980.
"Macroeconomics and Reality,"
Econometrica,
Econometric Society, vol. 48(1), pages 1-48, January.
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