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Did the Austrian Financial Market Become more Integrated with the German Market after EU Accession? - Il mercato finanziario austriaco si è integrato maggiormente con quello tedesco dopo l’adesione all’Unione europea?

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Abstract

This paper empirically investigates whether the Austrian EU membership in 1995 resulted in more financial integration with Germany. A method recently developed in the literature that is robust to non-normality and timevarying volatility is used. It is found that EU membership has not resulted in more integration between the two markets. Additionally, the correlation between the markets is still positive and statistically significant. The financial economic implications of the empirical findings are explained in the main text. - Questo studio presenta un’analisi empirica sulla questione se l’adesione austriaca all’Unione europea del 1995 si è tramutata in un’integrazione finanziaria maggiore con la Germania. Viene utilizzato un metodo robusto alla non-normalità e alla volatilità time-varying. Non vi sono evidenze che l’adesione all’Unione europea si sia tramutata in una maggiore integrazione tra i due mercati. Nel lavoro vengono illustrate le implicazioni economico-finanziarie dei risultati empirici ottenuti.

Suggested Citation

  • Hatemi-J, Abdulnasser, 2010. "Did the Austrian Financial Market Become more Integrated with the German Market after EU Accession? - Il mercato finanziario austriaco si è integrato maggiormente con quello tedesco dopo l’adesione al," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 63(3), pages 297-304.
    • Handle: RePEc:ris:ecoint:0599
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    References listed on IDEAS

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    1. Scott Hacker & Abdulnasser Hatemi-J, 2009. "ContagT: GAUSS module to implement a pairwise bootstrap test for contagion," Statistical Software Components G00007, Boston College Department of Economics.
    2. Bernd Kempa & Michael Nelles, 2001. "International correlations and excess returns in European stock markets: does EMU matter?," Applied Financial Economics, Taylor & Francis Journals, vol. 11(1), pages 69-73.
    3. Tesar, Linda L. & Werner, Ingrid M., 1995. "Home bias and high turnover," Journal of International Money and Finance, Elsevier, vol. 14(4), pages 467-492, August.
    4. Bruno Frey & Marcel Kucher, 1999. "Asset Prices and History: The Case of Austria," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 26(1), pages 11-20, March.
    5. Peter Mooslechner, 2005. "10 Years of Austrian EU Membership: Elements of an Overall Economic Assessment," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 28-41.
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    More about this item

    Keywords

    Financial Integration; Austria; Germany; EU;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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