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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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    References listed on IDEAS

    1. Romer, Paul M, 1986. "Increasing Returns and Long-run Growth," Journal of Political Economy, University of Chicago Press, vol. 94(5), pages 1002-1037, October.
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    5. Raffaele Paci, 1997. "More similar and less equal: Economic growth in the European regions," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 133(4), pages 609-634, December.
    6. Juan R. Cuadrado-Roura & Begoña García-Greciano & José Luis Raymond, 1999. "Regional Convergence in Productivity and Productive Structure: The Spanish Case," International Regional Science Review, , vol. 22(1), pages 35-53, April.
    7. Bernard, Andrew B & Jones, Charles I, 1996. "Comparing Apples to Oranges: Productivity Convergence and Measurement across Industries and Countries," American Economic Review, American Economic Association, vol. 86(5), pages 1216-1238, December.
    8. Lucas, Robert Jr., 1988. "On the mechanics of economic development," Journal of Monetary Economics, Elsevier, vol. 22(1), pages 3-42, July.
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    More about this item


    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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