Comovements among European equity sectors: Selected evidence from the consumer discretionary, consumer staples, financial, industrial and materials sectors
AbstractThis paper examines comovements between equity sectors across European markets during the post-euro adoption period 1999-2002. The markets comprise six selected Member States of the European Union (EU): namely, Belgium, Finland, France, Germany, Ireland and Italy. The five sectors selected are classified according to the Global Industry Classification Standard (GICS). They include the consumer discretionary, consumer staples, financial, industrials and materials sectors. Multivariate cointegration procedures, Granger-causality tests and generalised variance decomposition analyses based on error-correction and vector autoregressive models are conducted to examine long and short-run relationships among these markets. The results indicate that there are few stationary long-run relationships between sectors in different markets, but many significant short-run causal linkages between these sectors. Variance decomposition indicates that the consumer discretionary, financial and materials sectors in the EU are relatively more integrated than the consumer staples and industrials sectors. However, irrespective of the sector examined the large equity markets of France, Germany and Italy remain the most influential in terms of causality and the proportion of variance accounted for by innovations in these same markets.
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Bibliographic InfoPaper provided by School of Economics and Finance, Queensland University of Technology in its series School of Economics and Finance Discussion Papers and Working Papers Series with number 116.
Date of creation: 20 Sep 2002
Date of revision:
Financial integration; sectors and industries; portfolio diversification; market efficiency.;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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