The stock market impact of German reunification: international evidence
This study uses a country beta market model and a multivariate GARCH conditional beta model to examine if German reunification has impacted upon country returns, across different nations. The results suggest a stronger reaction in European countries particularly those with closer economic links. The analysis also revealed that the most significant individual events occur in August 1990.
Year of publication: |
2005
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Authors: | Brooks, Robert ; Faff, Robert ; Sokulsky, David |
Published in: |
Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 15.2005, 1, p. 31-42
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Publisher: |
Taylor & Francis Journals |
Saved in:
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