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Exchange controls and European stock market integration

Author

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  • Patricia L. Chelley-Steeley
  • James M. Steeley
  • Eric J. Pentecost

Abstract

This paper examines the impact on stock price predictability that the removal of exchange controls had on major European countries during the late 1970s and 1980s. It is found that for Germany, Switzerland and France, the removal of exchange controls led to an increase in the interdependence between these and other markets. In contrast, there is little evidence of an increase in interdependence for the UK and Italy.

Suggested Citation

  • Patricia L. Chelley-Steeley & James M. Steeley & Eric J. Pentecost, 1998. "Exchange controls and European stock market integration," Applied Economics, Taylor & Francis Journals, vol. 30(2), pages 263-267, February.
  • Handle: RePEc:taf:applec:v:30:y:1998:i:2:p:263-267
    DOI: 10.1080/000368498326056
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    References listed on IDEAS

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    1. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    2. Solnik, B H, 1974. "The International Pricing of Risk: An Empirical Investigation of the World Capital Market Structure," Journal of Finance, American Finance Association, vol. 29(2), pages 365-378, May.
    3. Taylor, Mark P & Tonks, Ian, 1989. "The Internationalisation of Stock Markets and the Abolition of U.K. Exchange Control," The Review of Economics and Statistics, MIT Press, vol. 71(2), pages 332-336, May.
    4. 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.
    5. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    6. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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    Citations

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    Cited by:

    1. Buch, Claudia M., 2001. "Cross-Border Banking and Transmission Mechanisms: The Case of Europe," Kiel Working Papers 1063, Kiel Institute for the World Economy (IfW).
    2. Laopodis, Nikiforos T., 2004. "European and international asymmetry in the volatility transmission mechanism: the "German Dominance Hypothesis" revisited," Journal of Economics and Business, Elsevier, vol. 56(2), pages 75-97.
    3. Nikiforos Laopodis, 2001. "International Interest-Rate Transmission and the “German Dominance Hypothesis” Within EMS," Open Economies Review, Springer, vol. 12(4), pages 347-377, October.
    4. Alexandr Èerný & Michal Koblas, 2008. "Stock Market Integration and the Speed of Information Transmission," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 58(01-02), pages 2-20, January.
    5. Chan Leong, Su & Felmingham, Bruce, 2003. "The interdependence of share markets in the developed economies of East Asia," Pacific-Basin Finance Journal, Elsevier, vol. 11(2), pages 219-237, April.
    6. Ulf Nielsson, 2007. "Interdependence of Nordic and Baltic Stock Markets," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 6(2), pages 9-28, January.

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