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European Stock Market Integration: Does Emu Matter?

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Personen und Körperschaften: Yang, Jian (VerfasserIn), Min, Insik (Sonstige), Li, Qi (Sonstige)
Weitere Verfasser: Min, Insik [Sonstige] • Li, Qi [Sonstige]
Format: E-Book
Sprache: Unbestimmt
veröffentlicht:
[S.l.] SSRN [2005]
Quelle: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Details
Zusammenfassung: This study examines the impact of the recent establishment of the Economic and Monetary Union (EMU) on the long-run, short-run and contemporaneous structures of integration among eleven European stock markets and the US. The results show that although two cointegrating vectors exist both before and after the establishment of the EMU, the long-run linkages among these markets have generally been strengthened after the establishment of the EMU as equilibria are restored more quickly after system-wide shocks. Generalized impulse response analysis and generalized forecast error variance decomposition further indicates that large EMU markets (Germany, France, Italy, Netherlands) are more integrated with each other after the establishment of the EMU. Several small EMU markets are also more integrated with the large EMU markets while the three smallest EMU markets (Austria, Belgium and Ireland) are more isolated from other EMU markets after the EMU was launched. The EMU markets seem to be less integrated with the UK after establishment of the EMU, while no clear pattern has emerged yet regarding their integration with the US market. The examination of the contemporaneous structure of integration also yields similar inference
Beschreibung: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 2002 erstellt
Umfang: 1 Online-Ressource (36 p)
DOI: 10.2139/ssrn.709626
Zugang: Open Access