Stock market integration-the athens exchange in the european financial market
This article contributes to the existing literature on European financial market integration by investigating whether the degree of integration between the Athens Stock Exchange (ASE) and three major euro zone stock markets has varied over time since the signing of the Maastricht treaty. To this aim, the evolution of pairwise correlations as a descriptive indication of financial market linkages is initially considered. Subsequently, a more formal assessment of integration is undertaken, focusing on the dynamic dependence between daily stock-index returns on the ASE and those on the other stock exchanges. A range of alternative, sequentially nested GARCH specifications are estimated over rolling windows of our sample, with a view to determining whether the degree of integration between the markets in question has varied over time. ASE equity returns appear to conform to well-established empirical regularities, while their mean and variance processes seem clearly influenced by those of other European stock markets, the extent of dependence however varying over the sample period.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Heather D. Gibson & Jim Malley, 2007.
"The Contribution of Sectoral Productivity Differentials to Inflation in Greee,"
63, Bank of Greece.
- Heather Gibson & Jim Malley, 2008. "The Contribution of Sectoral Productivity Differentials to Inflation in Greece," Open Economies Review, Springer, vol. 19(5), pages 629-650, November.
- Heather D. Gibson & Jim Malley, 2007. "The Contribution of Sectoral Productivity Differentials to Inflation in Greece," Working Papers 2007_39, Business School - Economics, University of Glasgow.
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