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Comovements among European equity sectors: Selected evidence from the consumer discretionary, consumer staples, financial, industrial and materials sectors

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  • Siv Heng Taing
  • Andrew C. Worthington

Abstract

This 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 Info

Paper 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.

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Date of creation: 20 Sep 2002
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Handle: RePEc:qut:dpaper:116

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Keywords: Financial integration; sectors and industries; portfolio diversification; market efficiency.;

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Cited by:
  1. Kathleen Goffey & Andrew Worthington, 2002. "Motor Vehicle Usage Patterns in Australia: A Comparative Analysis of Driver, Vehicle & Purpose Characteristics for Household & Freight Travel," School of Economics and Finance Discussion Papers and Working Papers Series 117, School of Economics and Finance, Queensland University of Technology.

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