Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/153340 
Year of Publication: 
2008
Series/Report no.: 
ECB Working Paper No. 906
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
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

Files in This Item:
File
Size
992.45 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.