Assessing Financial Integration in the European Union Equity Markets: Panel Unit Root and Multivariate Cointegration and Causality Evidence

Andrew Worthington and Helen Higgs ()
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Helen Higgs: Griffith University, Postal: Department of Accounting, Finance and, Economics, Griffith University, 170 Kessels Road, Nathan QLD 4111, Australia

Journal of Economic Integration, 2010, vol. 25, 457-479

Abstract:

This paper measures financial integration among selected European Union equity markets over the period July 1990 to June 2006 using daily data. Eleven markets (Austria, Belgium, Denmark, France, Germany, Greece, Ireland, Italy, Netherlands, Spain and the United Kingdom) are included in the analysis. Panel unit root tests are used to test for non-stationarity, and multivariate cointegration, Granger causality and level VAR procedures and variance decompositions are conducted to examine the equilibrium and causal relationships among these markets. The results indicate that there is a stationary long-run equilibrium relationship among and significant and substantial short and long run causal linkages between these markets. The findings offer complementary evidence that a high level of financial integration now prevails in the region.

Keywords: Financial Integration; International Capital Allocation; Economic Development and Growth; Market Efficien (search for similar items in EconPapers)
JEL-codes: C33 F36 G15 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:ris:integr:0512

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