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Erscheinungsjahr: 
2008
Schriftenreihe/Nr.: 
ECB Working Paper No. 906
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
conditional comovements
euro
National and industry equity returns
regression quantiles
JEL: 
F36
G15
C22
Dokumentart: 
Working Paper

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