Have the GIPSI settled down? Breaks and multivariate stochastic volatility models for, and not against, the European financial integration

Bartosz Gebka and Michail Karoglou

Journal of Banking & Finance, 2013, vol. 37, issue 9, 3639-3653

Abstract: We investigate the integration of the European peripheral financial markets with Germany, France, and the UK using a combination of tests for structural breaks and return correlations derived from several multivariate stochastic volatility models. Our findings suggest that financial integration intensified in anticipation of the Euro, further strengthened by the EMU inception, and amplified in response to the 2007/2008 financial crisis. Hence, no evidence is found of decoupling of the equity markets in more troubled European countries from the core. Interestingly, the UK, despite staying outside the EMU, is not worse integrated with the GIPSI than Germany or France.

Keywords: European integration; EMU; Financial spillovers; Break tests; Stochastic volatility models (search for similar items in EconPapers)
JEL-codes: C22 C32 C58 F36 G01 G15 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:37:y:2013:i:9:p:3639-3653

DOI: 10.1016/j.jbankfin.2013.04.035

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