Is the Swedish Stock Market Becoming more Integrated with those of Germany and France?

Abdulnasser Hatemi-J, Per-Ola Maneschiöld and Eduardo Roca
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Per-Ola Maneschiöld: Halmstad University, School of Business and Engineering, Department of Economics, Postal: Box 823, S-301 18, Halmstad, Sweden, http://www.hh.se/

Economia Internazionale / International Economics, 2008, vol. 61, issue 4, 665-685

Abstract: This paper tests for equity market integration between Sweden and EU countries represented by Germany and France. A new causality test method developed by Hacker and Hatemi-J (2006) is applied. This method performs better than the other methods because it is robust to non-normality and the presence of ARCH effects in the financial data. The results show that Sweden did not have a significant causal relationship with Germany and France during the period before Swedish membership in the EU. However, for the period after Sweden joined the EU (in 1995), we find that Sweden became significantly linked with both Germany and France. We interpret these empirical findings as supporting the proposition that the Swedish financial market has become more integrated with the EMU area.

Keywords: Equity Price; Exchange Rates; Leveraged Bootstrap Technique (search for similar items in EconPapers)
JEL-codes: C32 F31 G15 (search for similar items in EconPapers)
Date: 2008
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