Equity Price Dynamics Before and After the Introduction of the Euro

Yin-Wong Cheung and Frank Westermann

Discussion Papers in Economics from University of Munich, Department of Economics

Abstract: Daily data from the German and U.S. equity markets before and after the introduction of the Euro are used to study the effect of exchange rate regime choices on equity markets. It is found that, since the introduction of the Euro, the volatility and the persistence of the German stock index have fallen significantly relative to those of the U.S. index. However, the switch in exchange rate arrangement appears to have no significant implication for the causal relationships - both the mean and varianc causalities - between the two equity markets.

JEL-codes: G15 (search for similar items in EconPapers)
Date: 2001-12
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Citations: View citations in EconPapers (12)

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