 Does the Euro affect the dynamic interactions of stock markets in Europe? Evidence from France, Germany and ItalyThe European Journal of Finance, 2004, vol. 10, issue 2, 139-148 Abstract: The dynamic links between stock market indices are analyzed in a GARCH-M framework, using daily data from France, Germany, Italy and the USA. It is shown that indices in the periods before and after the introduction of the Euro as a single currency display a very distinct behaviour. Consistent with the literature, in the earlier period price changes are found to have an impact the next day on other markets. In the latter period this type of co-movement disappeared within Europe. Feedback trading has been shown to induce (negative) autocorrelation in national stock markets. In this paper an international version of the feedback trading model is used to illustrate that the lead-lag relationships across countries and the strength of these links depend on the currency regime. Keywords: Euro; feedback trading model; GARCH model; stock market indices (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:eurjfi:v:10:y:2004:i:2:p:139-148 Ordering information: This journal article can be ordered from DOI: 10.1080/1351847032000143378 Access Statistics for this article The European Journal of Finance is currently edited by Chris Adcock More articles in The European Journal of Finance from Taylor & Francis Journals |
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