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European Stock Market Dynamics Before and After the Introduction of the Euro

  • Joseph Friedman

    ()

    (Department of Economics, Temple University)

  • Yochanan Shachmurove

    ()

    (Departments of Economics, City College of The City University of New York and University of Pennsylvania)

This paper addresses the following questions: Are the major European stock markets more integrated after the introduction of the Euro? How much of the change in the stock indices in different European countries can be attributed to innovations in other markets? How fast are events occurring in one European market transmitted to other markets? Vector Auto Regression models, impulses responses and variance decomposition are used to ascertain the stock market dynamics before and after the introduction of the Euro. The paper presents evidence of further integration of the European stock markets after the introduction of the Euro.

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File URL: http://economics.sas.upenn.edu/system/files/working-papers/05-028.pdf
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Paper provided by Penn Institute for Economic Research, Department of Economics, University of Pennsylvania in its series PIER Working Paper Archive with number 05-028.

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Length: 27 pages
Date of creation: 01 Oct 2005
Date of revision:
Handle: RePEc:pen:papers:05-028
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  10. Friedman, Joseph & Shachmurove, Yochanan, 1997. "Co-movements of major European community stock markets: A vector autoregression analysis," Global Finance Journal, Elsevier, vol. 8(2), pages 257-277.
  11. 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.
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  14. Malkamäki, Markku & Martikainen, Teppo & Perttunen, Jukka & Puttonen, Vesa, 1993. "On the causality and co-movements of scandinavian stock market returns," Scandinavian Journal of Management, Elsevier, vol. 9(1), pages 67-76, March.
  15. Robert-Jan Gerrits & Ayse Yuce, 1999. "Short- and long-term links among European and US stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 9(1), pages 1-9.
  16. Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 241-256, June.
  17. Grubel, Herbert G & Fadner, Kenneth, 1971. "The Interdependence of International Equity Markets," Journal of Finance, American Finance Association, vol. 26(1), pages 89-94, March.
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  19. Corhay, A. & Tourani Rad, A. & Urbain, J. -P., 1993. "Common stochastic trends in European stock markets," Economics Letters, Elsevier, vol. 42(4), pages 385-390.
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