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Short-term and long-term Interconnectedness of stock returns in Western Europe and the global market

Panda, Ajaya Kumar; Nanda, Swagatika - In: Financial Innovation 3 (2017) 1, pp. 1-24

markets of 17 countries in Western Europe as well as the world market, using time series techniques. Methods: Weekly returns …, Greece, Ireland, Luxembourg, and Norway, which are quite dynamically interlinked within the region as well as with the MSCI …

Persistent link: https://www.econbiz.de/10011808239

How does European integration affect the European stock markets?

Erdogan, Burcu - 2009

process of monetary, economic and financial integration in Europe. This study offers evidence for an increasing degree of …

Persistent link: https://www.econbiz.de/10010291779

How does European Integration affect the European Stock Markets?

Erdogan, Burcu - 2009

process of monetary, economic and financial integration in Europe. This study offers evidence for an increasing degree of …

Persistent link: https://www.econbiz.de/10010300155

The impact of the euro on equity markets: a country and sector decomposition

Cappiello, Lorenzo; Kadareja, Arjan; Manganelli, Simone - 2008

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...

Persistent link: https://www.econbiz.de/10011604952

Are the Central European Stock Markets Still Different? A Cointegration Analysis

Rousova, Linda - 2009

particular? Based on a cointegration analysis applied to stock market movements, I detect for the period after the EU enlargement …

Persistent link: https://www.econbiz.de/10010427556

How integrated are the European retail financial markets? A cointegration analysis

Heinemann, Friedrich; Schüler, Martin - 2002

, bivariate and multivariate cointegration techniques are used to assess the degree of integration in four loans and two deposit …

Persistent link: https://www.econbiz.de/10010298099

How integrated are the European retail financial markets? A cointegration analysis

Schüler, Martin; Heinemann, Friedrich - 2002

, bivariate and multivariate cointegration techniques are used to assess the degree of integration in four loans and two deposit …

Persistent link: https://www.econbiz.de/10010301768

Stock market integration between three CEECs, Russia and the UK

Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010

This paper estimates a tri-variate VAR-GARCH(1,1)-in-mean model to examine linkages between the stock markets of three …

Persistent link: https://www.econbiz.de/10010270472

Econometric analysis of integration of selected new eu member cee stock markets with global stock market and eurozone: Impact of global financial crisis

Sucháček, Jan; Koutský, Jaroslav; Caridad y López … - In: Amfiteatru Economic Journal 23 (2021) 58, pp. 824-842

spectrum of econometric tools (cointegration, VAR model, Granger causality, variance decomposition) and comparison of changes … markets worldwide. Stock markets in Central Europe were not excluded as they are not isolated from global stock markets … markets of selected new EU member states in Central Europe (the Czech Republic, Hungary, and Poland), the global stock market …

Persistent link: https://www.econbiz.de/10014461928

Uncovered Interest Rate Parity and Analysis of Monetary Convergence of Potential EMU Accession Countries

Holtemöller, Oliver - 2003

This paper analyzes deviations from uncovered interest rate parity which are interpreted as indicator of the substitutability of currencies. Backward recursive statistical tests and error correction models are applied to study the co-movement of interest rates, and rolling regressions are used...

Persistent link: https://www.econbiz.de/10010296475