The Integration of European Stock Markets and Market Timing

José Soares da Fonseca

No 2006-05, GEMF Working Papers from GEMF, Faculty of Economics, University of Coimbra

Abstract: In this research, a European index and a world index were used to test the integration of the national stock markets of fourteen EU countries into the world stock market. A market timing procedure was used to detect differences of performance between the national indexes. The main conclusions drawn are that the European factor is important in explaining the returns of all the national indexes, but the world portfolio seems unnecessary in the cases of nine countries whose stock markets are embedded in the global European stock market. Differences of performance were also detected: the market timing effect being particularly evident in relation to the European market portfolio. Non-participation in the single currency does not seem to have a perceptible influence on the results.

Pages: 38 pages
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:gmf:wpaper:2006-05

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