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Financial Market Integration in Europe: On the Effects of EMU on Stock Markets

  • Fratzscher, M.

This paper analyzes the integration process of European equity markets since the 1980s. Its central focus is on the role that EMU, and specifically, changes in exchange rate volatility, has played in this process of financial integration.

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Paper provided by Quebec a Montreal - Recherche en gestion in its series Papers with number 48.

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Length: 44 pages
Date of creation: 2001
Date of revision:
Handle: RePEc:fth:uqamge:48
Contact details of provider: Postal:
Canada; Universite du Quebec a Montreal, Centre de recherche en gestion. Case postale 8888, succursale A, Montreal (Quebec) Canada H3C 3P8

References listed on IDEAS
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  1. Bekaert, Geert & Harvey, Campbell R., 1997. "Emerging equity market volatility," Journal of Financial Economics, Elsevier, vol. 43(1), pages 29-77, January.
  2. Hentschel, Ludger & Campbell, John, 1992. "No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns," Scholarly Articles 3220232, Harvard University Department of Economics.
  3. David Dickinson, 2000. "Stock market integration and macroeconomic fundamentals: an empirical analysis, 1980-95," Applied Financial Economics, Taylor & Francis Journals, vol. 10(3), pages 261-276.
  4. Hartmann, Philipp & Straetmans, Stefan & de Vries, Casper, 2001. "Asset market linkages in crisis periods," Working Paper Series 0071, European Central Bank.
  5. Ferson, Wayne E & Harvey, Campbell R, 1993. "The Risk and Predictability of International Equity Returns," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 527-66.
  6. Chen, Zhiwu & Knez, Peter J, 1995. "Measurement of Market Integration and Arbitrage," Review of Financial Studies, Society for Financial Studies, vol. 8(2), pages 287-325.
  7. Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
  8. Jose A. Lopez, 2000. "Volatility spillovers in the U.S. Treasury market," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue feb18.
  9. Jeffrey A. Frankel and Alan T. MacArthur., 1987. "Political vs. Currency Premia in International Real Interest Differentials: A Study of Forward Rates for 24 Countries," Economics Working Papers 8762, University of California at Berkeley.
  10. Bodart, V. & Reding, P., 1998. "Exchange Rate Regime, Volatility and International Correlations on Bond and Stock Markets," Papers 204, Notre-Dame de la Paix, Sciences Economiques et Sociales.
  11. Bayoumi, Tamim & Eichengreen, Barry, 1998. "Exchange rate volatility and intervention: implications of the theory of optimum currency areas," Journal of International Economics, Elsevier, vol. 45(2), pages 191-209, August.
  12. Dumas, Bernard & Solnik, Bruno, 1995. " The World Price of Foreign Exchange Risk," Journal of Finance, American Finance Association, vol. 50(2), pages 445-79, June.
  13. Bekaert, Geert & Wu, Guojun, 2000. "Asymmetric Volatility and Risk in Equity Markets," Review of Financial Studies, Society for Financial Studies, vol. 13(1), pages 1-42.
  14. Kristin Forbes & Roberto Rigobon, 1999. "No Contagion, Only Interdependence: Measuring Stock Market Co-movements," NBER Working Papers 7267, National Bureau of Economic Research, Inc.
  15. Taimur Baig & Ilan Goldfajn, 1998. "Financial Market Contagion in the Asian Crisis," IMF Working Papers 98/155, International Monetary Fund.
  16. Cambell, J.Y. & Hentschel, L., 1990. "An Asymmetric Model Of Changing Volatility In Stock Returns," Papers 118, Princeton, Department of Economics - Financial Research Center.
  17. Geert Bekaert & Campbell R. Harvey, 1994. "Time-Varying World Market Integration," NBER Working Papers 4843, National Bureau of Economic Research, Inc.
  18. Hardouvelis, Gikas A & Malliaropoulos, Dimitrios & Priestley, Richard, 1999. "EMU and European Stock Market Integration," CEPR Discussion Papers 2124, C.E.P.R. Discussion Papers.
  19. Michael J. Fleming & Jose A. Lopez, 1999. "Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market," Staff Reports 82, Federal Reserve Bank of New York.
  20. Frankel, Jeffrey A. & Rose, Andrew K., 1997. "Is EMU more justifiable ex post than ex ante?," European Economic Review, Elsevier, vol. 41(3-5), pages 753-760, April.
  21. Henry, O.T.J., 1995. "Modelling the Assymetry of Stock Market Volatility," Department of Economics - Working Papers Series 487, The University of Melbourne.
  22. Frankel, Jeffrey A, 1992. "Measuring International Capital Mobility: A Review," American Economic Review, American Economic Association, vol. 82(2), pages 197-202, May.
  23. Harvey, Campbell R, 1991. " The World Price of Covariance Risk," Journal of Finance, American Finance Association, vol. 46(1), pages 111-57, March.
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