Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153340
Authors: 
Cappiello, Lorenzo
Kadareja, Arjan
Manganelli, Simone
Year of Publication: 
2008
Series/Report no.: 
ECB Working Paper 906
Abstract: 
This paper investigates whether comovements between euro area equity returns at national and industry level have changed after the introduction of the euro. By adopting a regression quantile-based methodology, we find that after 1999 the degree of comovements among euro area national equity markets has augmented. By explicitly controlling for the impact of global factors, we show that this result cannot be explained away by recent world-wide trends. A more refined analysis based on an industry breakdown suggests that the increase in national index comovements is mainly driven by financial, industrials and consumer services sectors.
Subjects: 
conditional comovements
euro
National and industry equity returns
regression quantiles
JEL: 
F36
G15
C22
Document Type: 
Working Paper

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