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

Joseph Friedman and Yochanan Shachmurove

PIER Working Paper Archive from Penn Institute for Economic Research, Department of Economics, 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.

Keywords: Euro; Vector Auto Regression Models; Co-movements of Stock Markets; Impulse Response; Variance Decomposition (search for similar items in EconPapers)
JEL-codes: C1 C3 C5 E44 F G (search for similar items in EconPapers)
Pages: 27 pages
Date: 2005-10-01
New Economics Papers: this item is included in nep-eec, nep-fmk and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:pen:papers:05-028

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