Dynamic European stock market convergence: Evidence from rolling cointegration analysis in the first euro-decade

Nikolaos Mylonidis and Christos Kollias

Journal of Banking & Finance, 2010, vol. 34, issue 9, 2056-2064

Abstract: The introduction of the euro epitomizes European economic integration. This paper assesses the dynamic process of convergence among four major European stock markets in the first euro-decade. Using tests that allow for endogenously determined breaks in cointegrating relationships and rolling cointegration analysis, we show that although some convergence has been taking place over time, it is very much an ongoing process. There is also evidence that the German and French markets appear to be the ones with a higher degree of convergence while the dominant position of Germany within the eurozone seems to be (re)affirmed by tests conducted herein.

Keywords: Euro; Stock; market; integration; Structural; breaks; Rolling; cointegration (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (72)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378-4266(10)00021-X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:34:y:2010:i:9:p:2056-2064

Access Statistics for this article

Journal of Banking & Finance is currently edited by Ike Mathur

More articles in Journal of Banking & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().