Linkages between Excess Currency and Stock Market Returns:Granger Causality in Mean and Variance
This paper investigates the causal linkages between monetary and equity market integration of the new member states (NMS) as well as of the non economic monetary union (Non- EMU) member states with the euro zone, after the official launch of the euro. Granger causality in mean and in variance tests are utilized. Our results reveal a number of interesting facts that can be summarized as follows. Firstly, there is little evidence of causality in mean effects for all countries. Secondly, there are significant spill over effects for the NMS. Thirdly, the excess currency return is the chief variable which leads the excess stock market return volatility of the NMS. Our findings have obvious implications for both investors and policy makers.
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- Balázs Égert & Evžen Kocenda, 2007.
"Time-Varying Comovements in Developed and Emerging European Stock Markets: Evidence from Intraday Data,"
William Davidson Institute Working Papers Series
wp861, William Davidson Institute at the University of Michigan.
- Balázs Égert & Evžen Kočenda, 2011. "Time-varying synchronization of European stock markets," Empirical Economics, Springer, vol. 40(2), pages 393-407, April.
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