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

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  • 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)

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

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References

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Cited by:
  1. Kenourgios, Dimitris & Samitas, Aristeidis, 2009. "Financial Market Dynamics in an Enlarged European Union," Journal of Economic Integration, Center for Economic Integration, Sejong University, Center for Economic Integration, Sejong University, vol. 24, pages 197-221.
  2. Bartram, Sohnke M. & Taylor, Stephen J. & Wang, Yaw-Huei, 2007. "The Euro and European financial market dependence," Journal of Banking & Finance, Elsevier, Elsevier, vol. 31(5), pages 1461-1481, May.

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