期刊
ECONOMIC SYSTEMS
卷 35, 期 4, 页码 574-585出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.ecosys.2010.10.004
关键词
Stock market integration; European unification; DCC-MGARCH model
类别
We analyse the determinants of stock market integration among EU member states for the period 1999-2007. First, we apply bivariate DCC-MGARCH models to extract dynamic conditional correlations between European stock markets, which are then explained by interest rate spreads, exchange rate risk, market capitalisation, and business cycle synchronisation in a pooled OLS model. By grouping the countries into euro area countries, old EU member states outside the euro area, and new EU member states, we also evaluate the impact of euro introduction and the European unification process on stock market integration. We find a significant trend toward more stock market integration, which is enhanced by the size of relative and absolute market capitalisation and hindered by foreign exchange risk between old member states and the euro area. Interest rate spreads and business cycle synchronisation are also significant factors in explaining equity market integration. (C) 2011 Elsevier B.V. All rights reserved.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据