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The impact of the euro on equity markets: a country and sector decomposition

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  • Cappiello, Lorenzo
  • Manganelli, Simone
  • Kadareja, Arjan

Abstract

This paper investigates whether comovements between euro area equity returns at national and industry level have changed after the introduction of the euro. By adopting a regression quantile-based methodology, we find that after 1999 the degree of comovements among euro area national equity markets has augmented. By explicitly controlling for the impact of global factors, we show that this result cannot be explained away by recent world-wide trends. A more refined analysis based on an industry breakdown suggests that the increase in national index comovements is mainly driven by financial, industrials and consumer services sectors. JEL Classification: F36, G15, C22

Suggested Citation

  • Cappiello, Lorenzo & Manganelli, Simone & Kadareja, Arjan, 2008. "The impact of the euro on equity markets: a country and sector decomposition," Working Paper Series 906, European Central Bank.
  • Handle: RePEc:ecb:ecbwps:2008906
    Note: 234084
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    File URL: https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp906.pdf
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    References listed on IDEAS

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    Cited by:

    1. Mevlud Islami & Paul Welfens, 2013. "Financial market integration, stock markets and exchange rate dynamics in Eastern Europe," International Economics and Economic Policy, Springer, vol. 10(1), pages 47-79, March.
    2. Bussiere Matthieu & Chudik Alexander & Mehl Arnaud, 2013. "How have global shocks impacted the real effective exchange rates of individual euro area countries since the euro’s creation?," The B.E. Journal of Macroeconomics, De Gruyter, vol. 13(1), pages 1-48, April.
    3. Bris, Arturo & Koskinen, Yrjö & Nilsson, Mattias, 2011. "The Euro and Corporate Financing," CEPR Discussion Papers 8227, C.E.P.R. Discussion Papers.

    More about this item

    Keywords

    conditional comovements; euro; National and industry equity returns; regression quantiles;

    JEL classification:

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

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