How does the European Integration affect the European Stock Markets?:
This paper examines the integration of stock markets in Germany, France, Netherlands, Ireland and UK over January 1973-August 2008 at the aggregate market and industry level considering the following industries: basic materials, consumer goods, industrials, consumer services, health care and ?nancia...
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Göttingen
CeGE
2009
|
| Series: | CeGE discussion paper
80 |
| Online Access: | Volltext |
| Summary: | This paper examines the integration of stock markets in Germany, France, Netherlands, Ireland and UK over January 1973-August 2008 at the aggregate market and industry level considering the following industries: basic materials, consumer goods, industrials, consumer services, health care and ?nancials. The analysis is carried out by using correlation analysis, ß-convergence and s-convergence methods. ßconvergence serves to measure the speed of convergence and s-convergence serves to measure the degree of ?nancial integration. It might be expected a priori that European stock markets have converged during the process of monetary, economic and ?nancial integration in Europe. This study o?ers evidence for an increasing degree of integration both at the aggregate level and also at the industry level, although some di?erences in the speed and degree of convergence exist among stock markets. Surprisingly, there is an upswing of cross sectional dispersion for health care industry, which is more prone to regional shocks. The other industries show a signi?cant s-convergence. The average half-life of a shock to convergence changes at a range from 5.75 days for aggregate market to 10.25 days for consumer goods. -- Financial integration ; EU ; stock markets ; ß-convergence ; s-convergence ; correlation analysis |
| Physical Description: | 24 Bl. graph. Darst. |
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| 520 | 8 | |a This paper examines the integration of stock markets in Germany, France, Netherlands, Ireland and UK over January 1973-August 2008 at the aggregate market and industry level considering the following industries: basic materials, consumer goods, industrials, consumer services, health care and ?nancials. The analysis is carried out by using correlation analysis, ß-convergence and s-convergence methods. ßconvergence serves to measure the speed of convergence and s-convergence serves to measure the degree of ?nancial integration. It might be expected a priori that European stock markets have converged during the process of monetary, economic and ?nancial integration in Europe. This study o?ers evidence for an increasing degree of integration both at the aggregate level and also at the industry level, although some di?erences in the speed and degree of convergence exist among stock markets. Surprisingly, there is an upswing of cross sectional dispersion for health care industry, which is more prone to regional shocks. The other industries show a signi?cant s-convergence. The average half-life of a shock to convergence changes at a range from 5.75 days for aggregate market to 10.25 days for consumer goods. -- Financial integration ; EU ; stock markets ; ß-convergence ; s-convergence ; correlation analysis | |
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| indexdate | 2024-07-09T21:39:53Z |
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| spelling | Erdogan, Burcu Verfasser (DE-588)138259410 aut How does the European Integration affect the European Stock Markets? Burcu Erdogan Göttingen CeGE 2009 24 Bl. graph. Darst. txt rdacontent n rdamedia nc rdacarrier CeGE discussion paper 80 This paper examines the integration of stock markets in Germany, France, Netherlands, Ireland and UK over January 1973-August 2008 at the aggregate market and industry level considering the following industries: basic materials, consumer goods, industrials, consumer services, health care and ?nancials. The analysis is carried out by using correlation analysis, ß-convergence and s-convergence methods. ßconvergence serves to measure the speed of convergence and s-convergence serves to measure the degree of ?nancial integration. It might be expected a priori that European stock markets have converged during the process of monetary, economic and ?nancial integration in Europe. This study o?ers evidence for an increasing degree of integration both at the aggregate level and also at the industry level, although some di?erences in the speed and degree of convergence exist among stock markets. Surprisingly, there is an upswing of cross sectional dispersion for health care industry, which is more prone to regional shocks. The other industries show a signi?cant s-convergence. The average half-life of a shock to convergence changes at a range from 5.75 days for aggregate market to 10.25 days for consumer goods. -- Financial integration ; EU ; stock markets ; ß-convergence ; s-convergence ; correlation analysis CeGE discussion paper 80 (DE-604)BV022399194 80 http://www.uni-goettingen.de/de/document/download/d76eb5b717895da08e29cc7fbd35422e.pdf/80_Erdogan.pdf Verlag kostenfrei Volltext |
| spellingShingle | Erdogan, Burcu How does the European Integration affect the European Stock Markets? CeGE discussion paper |
| title | How does the European Integration affect the European Stock Markets? |
| title_auth | How does the European Integration affect the European Stock Markets? |
| title_exact_search | How does the European Integration affect the European Stock Markets? |
| title_full | How does the European Integration affect the European Stock Markets? Burcu Erdogan |
| title_fullStr | How does the European Integration affect the European Stock Markets? Burcu Erdogan |
| title_full_unstemmed | How does the European Integration affect the European Stock Markets? Burcu Erdogan |
| title_short | How does the European Integration affect the European Stock Markets? |
| title_sort | how does the european integration affect the european stock markets |
| url | http://www.uni-goettingen.de/de/document/download/d76eb5b717895da08e29cc7fbd35422e.pdf/80_Erdogan.pdf |
| volume_link | (DE-604)BV022399194 |
| work_keys_str_mv | AT erdoganburcu howdoestheeuropeanintegrationaffecttheeuropeanstockmarkets |