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http://hdl.handle.net/10419/31992
  
Title:How does European Integration affect the European Stock Markets? PDF Logo
Authors:Erdogan, Burcu
Issue Date:2009
Series/Report no.:CeGE Discussion Paper 80
Abstract:This paper examines the integration of stock markets in Germany, France, Netherlands, Ireland and UK over January 1973-August 2008 at the aggregate market and industry level considering the following industries: basic materials, consumer goods, industrials, consumer services, health care and financials. The analysis is carried out by using correlation analysis, ß-convergence and s-convergence methods. ß-convergence serves to measure the speed of convergence and s-convergence serves to measure the degree of financial integration. It might be expected a priori that European stock markets have converged during the process of monetary, economic and financial integration in Europe. This study offers evidence for an increasing degree of integration both at the aggregate level and also at the industry level, although some differences in the speed and degree of convergence exist among stock markets. Surprisingly, there is an upswing of cross sectional dispersion for health care industry, which is more prone to regional shocks. The other industries show a significant s-convergence. The average half-life of a shock to convergence changes at a range from 5.75 days for aggregate market to 10.25 days for consumer goods.
Subjects:Financial integration
EU
stock markets
ß-convergence
s-convergence
correlation analysis
JEL:C22
G12
G15
F36
Document Type:Working Paper
Appears in Collections:cege-Diskussionspapiere, Universität Göttingen
Publikationen von Forscherinnen und Forschern des DIW

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