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The Co-integration of European Stock Markets after the Launch of the Euro

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Author Info
Jose Soares da Fonseca () (University of Coimbra, Portugal)

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Abstract

This article studies the international integration of the national stock markets of sixteen European countries. The international financial market is represented by two indices: a European index and a World index. The methodology of co-integration, used in this article, is the proper econometrical solution for the treatment of non-stationary series as those used in the present research. Complementarily, co-integration offers the possibility of distinguishing the long-term and the short-term interdependence, which very important when the variables are financial market indices. The empirical tests in this research have shown that both European and non European international factors are necessary to explain the international integration of the national stock markets under analysis.

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File URL: http://www.panoeconomicus.rs/casopis/jedanaestibroj/the%20cointegration%20of%20european%20stock%20markets%20after%20the%20launch%20of%20the%20euro.pdf
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File Function: First version, 2008
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Publisher Info
Paper provided by Faculty of economics, Department of Economics in its series Working Papers with number 200833.

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Length: 15 pages
Date of creation: Jun 2008
Date of revision: Sep 2008
Publication status: Published in Panoeconomicus, September 2008, pages 309-324
Handle: RePEc:voj:wpaper:200833

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Web page: http://www.panoeconomicus.rs/

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Related research
Keywords: Co-integration; Stock markets; Euro;

Find related papers by JEL classification:
F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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This page was last updated on 2009-11-22.

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