Equity price dynamics before and after the introduction of the Euro : a note

Yin-Wong Cheung; Frank Westermann

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.

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Year of publication:	2001
Authors:	Cheung, Yin-Wong
Other Persons:	Westermann, Frank (contributor)
Publisher:	Munich : Univ., Center for Economic Studies
Subject:	Börsenkurs \| Share price \| Volatilität \| Volatility \| Aktienindex \| Stock index \| Eurozone \| Euro area \| Wechselkurssystem \| Exchange rate regime \| Vergleich \| Comparison \| Schätzung \| Estimation \| Deutschland \| Germany \| USA \| United States