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

Lorenzo Cappiello, Simone Manganelli and Arjan Kadareja

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: conditional comovements; euro; National and industry equity returns; regression quantiles (search for similar items in EconPapers)
Date: 2008-06
Note: 234084
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:2008906

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