EUROPEAN STOCK MARKET FLUCTUATIONS: SHORT AND LONG TERM LINKS

Anastasios Malliaris and Jorge L. Urrutia
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Jorge L. Urrutia: Department of Finance, Loyola University of Chicago, Chicago, IL, USA

Chapter 10 in Economic Uncertainty, Instabilities and Asset Bubbles:Selected Essays, 2005, pp 137-149 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe paper uses a error correcting model to examine long-term links and short-run causality for five major European capital markets. The empirical results report statistically significant relationships. These findings indicate that the European markets tend to move together and adjust to each other's movements. The results imply limitations in the role of portfolio diversification and confirm a high degree of integration among European equity markets.

Keywords: Asymptotic Economic Growth; Inflation; Interest Rates; Asset Pricing; Equity Markets; Foreign Currency; Monetary Policy; Crash (search for similar items in EconPapers)
JEL-codes: C58 C73 E31 E37 E43 G12 G17 (search for similar items in EconPapers)
Date: 2005
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