European Stock Market Dynamics Before and After the Introduction of the Euro
AbstractThis 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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Bibliographic InfoPaper provided by Penn Institute for Economic Research, Department of Economics, University of Pennsylvania in its series PIER Working Paper Archive with number 05-028.
Length: 27 pages
Date of creation: 01 Oct 2005
Date of revision:
Euro; Vector Auto Regression Models; Co-movements of Stock Markets; Impulse Response; Variance Decomposition;
Find related papers by JEL classification:
- F - International Economics
- G - Financial Economics
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-11-19 (All new papers)
- NEP-EEC-2005-11-19 (European Economics)
- NEP-FMK-2005-11-19 (Financial Markets)
- NEP-MAC-2005-11-19 (Macroeconomics)
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