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

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