The impact of the euro on equity markets - a country and sector decomposition

Lorenzo Cappiello (), Arjan Kadareja () and Simone Manganelli ()
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Lorenzo Cappiello: Directorate General Economics, European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany., http://www.ecb.europa.eu/home/html/index.en.html
Arjan Kadareja: Bank of Albania and University of New York at Tirana; Address: Sheshi, Skenderbej 1, Tirana, Albania., http://www.bankofalbania.org/
Simone Manganelli: Directorate General Research, European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany., http://www.ecb.europa.eu/home/html/index.en.html

No 906, Working Paper Series from European Central Bank

Abstract: This paper investigates whether comovements between euro area equity returns at national and industry level have changed after the introduction of the euro. By adopting a regression quantile-based methodology, we find that after 1999 the degree of comovements among euro area national equity markets has augmented. By explicitly controlling for the impact of global factors, we show that this result cannot be explained away by recent world-wide trends. A more refined analysis based on an industry breakdown suggests that the increase in national index comovements is mainly driven by financial, industrials and consumer services sectors. JEL Classification: F36, G15, C22.

Keywords: National and industry equity returns; euro; conditional comovements; regression quantiles. (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eec
Date: 2008-06

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