Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, … - 2009
This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset … including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as … sectoral indices we find convergence in the middle of the sample period, followed by divergence, and detect four (two large and …