European stock market integration: Fact or fiction?
The objective of this study is to determine the dynamics and contemporaneous interactions of Euro stock markets at the country and economic sector level. Overall test results have revealed the time-varying nature of the financial market integration process. Promoted by the anticipation and subsequently the formation of the currency union Euro stock markets became more integrated between 1998 and 2006. Monetary policy convergence, however, may have facilitated the divergence of economic variables. Evidence is found that return behavior is changing and stock markets within the Euro zone are starting to drift apart.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 19 (2009)
Issue (Month): 5 (December)
|Contact details of provider:|| Web page: http://www.elsevier.com/locate/intfin|
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.:
- David Dickinson, 2000. "Stock market integration and macroeconomic fundamentals: an empirical analysis, 1980-95," Applied Financial Economics, Taylor & Francis Journals, vol. 10(3), pages 261-276.
- Engle, Robert F & Granger, Clive W J, 1987.
"Co-integration and Error Correction: Representation, Estimation, and Testing,"
Econometric Society, vol. 55(2), pages 251-76, March.
- Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
- Kearney, Colm & Lucey, Brian M., 2004. "International equity market integration: Theory, evidence and implications," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 571-583.
- Lieven Baele, 2004. "Measuring European Financial Integration," Oxford Review of Economic Policy, Oxford University Press, vol. 20(4), pages 509-530, Winter.
- Gikas A. Hardouvelis & Dimitrios Malliaropulos & Richard Priestley, 2006.
"EMU and European Stock Market Integration,"
The Journal of Business,
University of Chicago Press, vol. 79(1), pages 365-392, January.
- Crowder, William J, 1996. "A Reexamination of Long-Run PPP: The Case of Canada, the UK, and the US," Review of International Economics, Wiley Blackwell, vol. 4(1), pages 64-78, February.
- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992.
"Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?,"
Journal of Econometrics,
Elsevier, vol. 54(1-3), pages 159-178.
- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
- Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211.
- Hasbrouck, Joel, 1995. " One Security, Many Markets: Determining the Contributions to Price Discovery," Journal of Finance, American Finance Association, vol. 50(4), pages 1175-99, September.
- Hafer, R W & Kutan, A M, 1994. "A Long-Run View of German Dominance and the Degree of Policy Convergence in the EMS," Economic Inquiry, Western Economic Association International, vol. 32(4), pages 684-95, October.
- Fratzscher, M., 2001.
"Financial Market Integration in Europe: On the Effects of EMU on Stock Markets,"
48, Quebec a Montreal - Recherche en gestion.
- Fratzscher, Marcel, 2002. "Financial Market Integration in Europe: On the Effects of EMU on Stock Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 7(3), pages 165-93, July.
- Fratzscher, Marcel, 2001. "Financial market integration in Europe: on the effects of EMU on stock markets," Working Paper Series 0048, European Central Bank.
- Gonzalo, J. & Granger, C., 1992.
"Estimation of Common Long-Memory Components in Cointegrated Systems,"
4, Boston University - Department of Economics.
- Gonzalo, Jesus & Granger, Clive W J, 1995. "Estimation of Common Long-Memory Components in Cointegrated Systems," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 27-35, January.
- Antonios Antoniou & Gioia M. Pescetto & Ibrahim Stevens, 2007. "Market-wide and sectoral integration: Evidence from the UK, USA and Europe," Managerial Finance, Emerald Group Publishing, vol. 33(3), pages 173-194.
- Jian Yang & Insik Min & Qi Li, 2003. "European Stock Market Integration: Does EMU Matter?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(9-10), pages 1253-1276.
- Syriopoulos, Theodore, 2007. "Dynamic linkages between emerging European and developed stock markets: Has the EMU any impact?," International Review of Financial Analysis, Elsevier, vol. 16(1), pages 41-60.
- Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November.
- Heiko Schmiedel & Andreas Schönenberger, 2006. "Integration, regulation, and policy of securities market infrastructures in the euro area," Journal of Financial Regulation and Compliance, Emerald Group Publishing, vol. 14(4), pages 328-347, November.
- Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-72, August.
- Pesaran, H. Hashem & Shin, Yongcheol, 1998.
"Generalized impulse response analysis in linear multivariate models,"
Elsevier, vol. 58(1), pages 17-29, January.
- Pesaran, M. H. & Shin, Y., 1997. "Generalised Impulse Response Analysis in Linear Multivariate Models," Cambridge Working Papers in Economics 9710, Faculty of Economics, University of Cambridge.
- Chen, Su-Jane & Jordan, Bradford D., 1993. "Some empirical tests in the arbitrage pricing theory: Macro variables vs. derived factors," Journal of Banking & Finance, Elsevier, vol. 17(1), pages 65-89, February.
- Bodart, Vincent & Reding, Paul, 1999.
"Exchange rate regime, volatility and international correlations on bond and stock markets,"
Journal of International Money and Finance,
Elsevier, vol. 18(1), pages 133-151, January.
- Bodart, V. & Reding, P., 1998. "Exchange Rate Regime, Volatility and International Correlations on Bond and Stock Markets," Papers 204, Notre-Dame de la Paix, Sciences Economiques et Sociales.
- Moerman, Gerard A., 2008. "Diversification in euro area stock markets: Country versus industry," Journal of International Money and Finance, Elsevier, vol. 27(7), pages 1122-1134, November.
- Jeffrey A. Frankel., 1994. "The Internationalization of Equity Markets: Introduction," Center for International and Development Economics Research (CIDER) Working Papers C94-033, University of California at Berkeley.
- Jeffrey A. Frankel, 1994.
"The Internationalization of Equity Markets,"
National Bureau of Economic Research, Inc, number fran94-1, Jan-Jun.
- Bernard, A.B. & Durlauf, S.N., 1993.
"Convergence in International Output,"
93-7, Massachusetts Institute of Technology (MIT), Department of Economics.
- Lutkepohl, Helmut & Reimers, Hans-Eggert, 1992. "Impulse response analysis of cointegrated systems," Journal of Economic Dynamics and Control, Elsevier, vol. 16(1), pages 53-78, January.
- Philipp Hartmann & Angela Maddaloni & Simone Manganelli, 2003.
"The Euro-area Financial System: Structure, Integration, and Policy Initiatives,"
Oxford Review of Economic Policy,
Oxford University Press, vol. 19(1), pages 180-213.
- Manganelli, Simone & Hartmann, Philipp & Maddaloni, Angela, 2003. "The euro area financial system: structure, integration and policy initiatives," Working Paper Series 0230, European Central Bank.
- Jeffrey A. Frankel, 1994. "Introduction to "The Internationalization of Equity Markets "," NBER Chapters, in: The Internationalization of Equity Markets, pages 1-20 National Bureau of Economic Research, Inc.
- Giancarlo Corsetti & Paolo Pesenti, 1999. "Stability, Asymmetry, and Discontinuity: The Launch of European Monetary Union," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 30(2), pages 295-372.
- Mills, Terence C & Holmes, Mark J, 1999. "Common Trends and Cycles in European Industrial Production: Exchange Rate Regimes and Economic Convergence," Manchester School, University of Manchester, vol. 67(4), pages 557-87, September.
- Kim, Suk-Joong & Moshirian, Fariborz & Wu, Eliza, 2006. "Evolution of international stock and bond market integration: Influence of the European Monetary Union," Journal of Banking & Finance, Elsevier, vol. 30(5), pages 1507-1534, May.
- Donal Bredin & Stilianos Fountas, 1997.
"Testing for Monetary Policy Convergence in European Countries,"
19, National University of Ireland Galway, Department of Economics, revised 1997.
- Donal Bredin & Stilianos Fountas, 1998. "Testing for monetary policy convergence in European countries," Journal of Economic Studies, Emerald Group Publishing, vol. 25(5), pages 353-369, October.
- Ng, Angela, 2000. "Volatility spillover effects from Japan and the US to the Pacific-Basin," Journal of International Money and Finance, Elsevier, vol. 19(2), pages 207-233, April.
- Xavier Freixas, 2004. "The Assessment: European Financial Integration," Oxford Review of Economic Policy, Oxford University Press, vol. 20(4), pages 475-489, Winter.
- Kate Phylaktis & Lichuan Xia, 2006. "The Changing Roles of Industry and Country Effects in the Global Equity Markets," The European Journal of Finance, Taylor & Francis Journals, vol. 12(8), pages 627-648.
- Ravi Jagannathan & Zhenyu Wang, 1996.
"The conditional CAPM and the cross-section of expected returns,"
208, Federal Reserve Bank of Minneapolis.
- Jagannathan, Ravi & Wang, Zhenyu, 1996. " The Conditional CAPM and the Cross-Section of Expected Returns," Journal of Finance, American Finance Association, vol. 51(1), pages 3-53, March.
- Dumas, Bernard & Solnik, Bruno, 1995. " The World Price of Foreign Exchange Risk," Journal of Finance, American Finance Association, vol. 50(2), pages 445-79, June.
- Mervyn King & Enrique Sentana & Sushil Wadhwani, 1990.
"Volatiltiy and Links Between National Stock Markets,"
NBER Working Papers
3357, National Bureau of Economic Research, Inc.
- King, Mervyn & Sentana, Enrique & Wadhwani, Sushil, 1994. "Volatility and Links between National Stock Markets," Econometrica, Econometric Society, vol. 62(4), pages 901-33, July.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- Mark J. Holmes, 2002. "Exchange rate regimes and economic convergence in the European Union," Journal of Economic Studies, Emerald Group Publishing, vol. 29(1), pages 6-20, January.
- Janakiramanan, Sundaram & Lamba, Asjeet S., 1998. "An empirical examination of linkages between Pacific-Basin stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(2), pages 155-173, June.
- Serletis, Apostolos & Krichel, Thomas, 1992. "Output trends in EC countries and the implications for transition to monetary union," Economics Letters, Elsevier, vol. 40(2), pages 211-216, October.
- Katsimbris, George M & Miller, Stephen M, 1993. "Interest Rate Linkages within the European Monetary System: Further Analysis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(4), pages 771-79, November.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Ferson, Wayne E & Harvey, Campbell R, 1991. "The Variation of Economic Risk Premiums," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 385-415, April.
- Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
- de Groof, R. J. & van Tuijl, M. A., 1993. "Goods markets integration and fiscal policy : A two-country two-sector analysis," Economic Modelling, Elsevier, vol. 10(2), pages 150-162, April.
- Westbrook, Jilleen R, 1998. "Monetary Integration, Inflation Convergence and Output Shocks in the European Monetary System," Economic Inquiry, Western Economic Association International, vol. 36(1), pages 138-44, January.
- Emerson, Michael, 1991. "Aspects of the economics of EMU," European Economic Review, Elsevier, vol. 35(2-3), pages 467-473, April.
- Dekker, Arie & Sen, Kunal & Young, Martin R., 2001. "Equity market linkages in the Asia Pacific region: A comparison of the orthogonalised and generalised VAR approaches," Global Finance Journal, Elsevier, vol. 12(1), pages 1-33.
- Mark Holmes, 1998. "Inflation Convergence in the ERM: Evidence for Manufacturing and Services," International Economic Journal, Taylor & Francis Journals, vol. 12(3), pages 1-16.
- Chanwit Phengpis & Vince P. Apilado & Peggy E. Swanson, 2004. "Effects of Economic Convergence on Stock Market Returns in Major EMU Member Countries," Review of Quantitative Finance and Accounting, Springer, vol. 23(3), pages 207-227, November.
When requesting a correction, please mention this item's handle: RePEc:eee:intfin:v:19:y:2009:i:5:p:759-776. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shamier, Wendy)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.