Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/75798
Authors: 
Cheung, Yin-Wong
Westermann, Frank
Year of Publication: 
2001
Series/Report no.: 
CESifo Working Paper 420
Abstract: 
Daily data from the German and U.S. equity markets before and after the introduction of the Euro are used to study the effect of exchange rate regime choices on equity markets. It is found that, since the introduction of the Euro, the volatility and the persistence of the German stock index have fallen significantly relative to those of the U.S. index. However, the switch in exchange rate arrangement appears to have no significant implication for the causal relationships - both the mean and variance causalities - between the two equity markets.
JEL: 
G15
Document Type: 
Working Paper

Files in This Item:
File
Size





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