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

Author

Listed:
  • 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)

Abstract

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.

Suggested Citation

  • Joseph Friedman & Yochanan Shachmurove, 2005. "European Stock Market Dynamics Before and After the Introduction of the Euro," PIER Working Paper Archive 05-028, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  • Handle: RePEc:pen:papers:05-028
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    File URL: http://economics.sas.upenn.edu/system/files/working-papers/05-028.pdf
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Bartram, Sohnke M. & Taylor, Stephen J. & Wang, Yaw-Huei, 2007. "The Euro and European financial market dependence," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1461-1481, May.
    2. Kenourgios, Dimitris & Samitas, Aristeidis, 2009. "Financial Market Dynamics in an Enlarged European Union," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 24, pages 197-221.

    More about this item

    Keywords

    Euro; Vector Auto Regression Models; Co-movements of Stock Markets; Impulse Response; Variance Decomposition;

    JEL classification:

    • F - International Economics
    • G - Financial Economics
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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