STOCK MARKET INTEGRATION AND EUROPEAN MONETARY UNION

E Philip Davis (), Christos Ioannidis and Nicola Spagnolo

Economics and Finance Discussion Papers from Economics and Finance Section, School of Social Sciences, Brunel University

Abstract: We evaluate changes in international spillovers of equity price shocks with EMU by estimating BEKK-GARCH models over 1993-98 and 1999-2004. Results are consistent with EMU market integration via sectoral allocation, but not autonomy from the external influence of the US.

New Economics Papers: this item is included in nep-cfn, nep-eec, nep-fin, nep-fmk and nep-mac
Date: 2005-10
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Persistent link: http://EconPapers.repec.org/RePEc:bru:bruedp:05-19

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