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European Stock Market Dynamics Before and After the Introduction of the Euro

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Author Info
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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Abstract

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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Publisher Info
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.

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Length: 27 pages
Date of creation: 01 Oct 2005
Date of revision:
Handle: RePEc:pen:papers:05-028

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Related research
Keywords: Euro Vector Auto Regression Models Co-movements of Stock Markets Impulse Response Variance Decomposition

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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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    Other versions:
  5. Alain Durré & Pierre Giot, 2005. "An international analysis of earnings, stock prices and bond yields," Research series 200509-1, National Bank of Belgium. [Downloadable!]
    Other versions:
  6. Karolyi, G Andrew & Stulz, Rene M, 1996. " Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements," Journal of Finance, American Finance Association, vol. 51(3), pages 951-86, July. [Downloadable!] (restricted)
    Other versions:
  7. Masih, Abul M. M. & Masih, Rumi, 1997. "Dynamic linkages and the propagation mechanism driving major international stock markets: An analysis of the pre- and post-crash eras," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(4), pages 859-885. [Downloadable!] (restricted)
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  9. Kanas, Angelos, 1998. "Linkages between the US and European Equity Markets: Further Evidence from Cointegration Tests," Applied Financial Economics, Taylor and Francis Journals, vol. 8(6), pages 607-14, December. [Downloadable!] (restricted)
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  10. Grubel, Herbert G & Fadner, Kenneth, 1971. "The Interdependence of International Equity Markets," Journal of Finance, American Finance Association, vol. 26(1), pages 89-94, March. [Downloadable!] (restricted)
  11. Gerrits, Robert-Jan & Yuce, Ayse, 1999. "Short- and Long-Term links among European and US Stock Markets," Applied Financial Economics, Taylor and Francis Journals, vol. 9(1), pages 1-9, February. [Downloadable!] (restricted)
  12. Hassan, M. Kabir & Naka, Atsuyuki, 1996. "Short-run and long-run dynamic linkages among international stock markets," International Review of Economics & Finance, Elsevier, vol. 5(4), pages 387-405. [Downloadable!] (restricted)
  13. Friedman, Joseph & Shachmurove, Yochanan, 1997. "Co-movements of major European community stock markets: A vector autoregression analysis," Global Finance Journal, Elsevier, vol. 8(2), pages 257-277. [Downloadable!] (restricted)
  14. Levy, Haim & Sarnat, Marshall, 1970. "International Diversification of Investment Portfolios," American Economic Review, American Economic Association, vol. 60(4), pages 668-75, September. [Downloadable!] (restricted)
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