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Integracion de los mercados financieros de Europa: El impacto de la crisis soberana de Grecia


  • Alejandro Islas Camargo

    () (Departamento de Estadística (ITAM))

  • Tania P. Sanabria Flores


  • Francisco Lopez Herrera

    (Division de Investigacion, Facultad de Contaduria y Administracion (UNAM))


This paper examines European stock markets integration in four time horizons: the first stage covers the period prior to the formation of the Economic and Monetary Union (EMU); the second covers the last phase of formation of EMU and implementation of banknotes and coins euro denominated; the third period covers the first nine years of entry into force of a single currency, this period is characterized by stable stock markets behavior. Period fourth, which include a significant portion of former ones, covers years after the emergence of the Greek sovereign crisis. By using a multivariate stochastic volatility model of additive factors, our empirical results provide evidence of fully integrated European stock markets only in the third period, where stock market volatility behavior is similar, indicating that only one latent factor is necessary to explain most of its variability. Prior and subsequent to this period of relative calm, stock markets are unstable and have movements in their volatilities, related but not highly synchronized.

Suggested Citation

  • Alejandro Islas Camargo & Tania P. Sanabria Flores & Francisco Lopez Herrera, 2013. "Integracion de los mercados financieros de Europa: El impacto de la crisis soberana de Grecia," EconoQuantum, Revista de Economia y Negocios, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 10(2), pages 7-34, Julio - D.
  • Handle: RePEc:qua:journl:v:10:y:2013:i:2:p:7-34

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    Integracion de mercados bursatiles; Union Europea; crisis financieras; modelos de volatilidad estocastica.;

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets


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