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Abstract
The aim of this paper is to investigate the effects of the European Monetary Union on the hypothesis of an integrated European Capital Market from January 1993 to December 2004. The extent of the period and the use of Fama and MacBeth [1973]'s methodology for estimating a large number of international asset pricing models that includes an Adler and Dumas [1983] model with and without domestic factor make possible to evaluate this hypothesis as a process towards a full integration. However, our results show that the integration is not a uniform process at all times and for all stocks and recedes in the period 2001-04 with the reappearance of a significant domestic risk premium (diversifiable international but not domestically). Furthermore, the increase of inflation throughout this subperiod and the significant capacity of the inflation and exchange risk premiums for explaining the dynamics of the domestic risk premium contribute to this recession. El objetivo de este artículo es investigar los efectos de la Unión Monetaria Europea en relación a la hipótesis de integración de los mercados de capitales europeos en un mercado único para el periodo comprendido entre enero 1993 y diciembre 2004. La longitud del periodo y la aplicación de la metodología de Fama y MacBeth [1973] en la estimación de un amplio grupo de modelos de valoración de activos internacionales que incluyen un modelo Adler and Dumas [1983] con y sin factor doméstico permiten evaluar esta hipótesis como un proceso de convergencia hacia un mercado totalmente integrado. Nuestros resultados indican que este proceso de integración no es homogéneo en el tiempo ni entre activos, y que durante los ejercicios 2001-04 se ha producido un retroceso en el grado de integración alcanzado marcado por primas al riesgo doméstico (diversificable de forma internacional pero no nacional) significativas. Los repuntes inflacionistas del periodo y la capacidad de las primas asociadas al factor inflación y al tipo de cambio para explicar de forma significativa la evolución temporal de la prima al riesgo doméstico para algunas agrupaciones de carteras contribuyen en este retroceso.
Suggested Citation
Alfredo Juan Grau Grau & Begoña Font Belaire, 2007.
"Ume Y La Integración De Los Mercados De Capitales Europeos: Relevancia Del Tipo De Cambio Y La Inflación,"
Working Papers. Serie EC
2007-14, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
Handle:
RePEc:ivi:wpasec:2007-14
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Keywords
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JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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