Comovement in Equity Price Indexes of the EU Stock Markets: The Information Contents of Samples of Different Frequency

Yong U. Glasure and Massoud Metghalchi
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Yong U. Glasure: University of Houston-Victoria
Massoud Metghalchi: University of Houston-Victoria

Journal of Economic Insight, 2008, vol. 34, issue 2, 11-22

Abstract: Weekly and monthly samples of MSCI equity price indexes from Datastream International are used to illustrate that samples with less frequency contain less and/or different information about the causal relations among equity price indexes of and the degree of integration of the EU stock markets. Our results of the Granger causality tests indicate that the weekly sample contained more information about the short-run dynamic and long-run causal relations compared to that of the monthly sample, but the causal relationships among price indexes were quite different between the two samples of different frequency. Findings of this paper do not support Hardouvelis, Malliaropulos and Priestley’s (2006) conclusion of full integration of the EU stock markets during the 1990s.

JEL-codes: G14 (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:mve:journl:v:34:y:2008:i:2:p:11-22

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