EMU’S IMPACT ON THE CORRELATION ACROSS THE EUROPEAN STOCK MARKETS
| Title: | EMU’S IMPACT ON THE CORRELATION ACROSS THE EUROPEAN STOCK MARKETS |
|---|---|
| Authors: | Manolis Syllignakis; Jel Code G; Panagiotis Diam; Georgios Kouretas; Elias Tzavalis |
| Contributors: | The Pennsylvania State University CiteSeerX Archives |
| Source: | http://www.soc.uoc.gr/asset/accepted_papers/paper112.pdf. |
| Collection: | CiteSeerX |
| Subject Terms: | EMU; European equity markets; Correlation; EGARCH-M; Market integration |
| Description: | This paper examines the impact of the establishment of the European Monetary Union (EMU) on the correlation among eleven EMU markets and the UK. We estimated an exponential GARCH-M (1,1) econometric specification, including in the mean equation two risk factors (the variance risk and the covariance risk) and concluded that the large EMU markets became more correlated after the formation of the EMU, while the smallest EMU market (Austria) became more isolated. Finally, it is interesting that the covariance risk is the key factor which drives the return series after the launch of the EMU, confirming the increased correlation. |
| Document Type: | text |
| File Description: | application/pdf |
| Language: | English |
| Relation: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.555.5790; http://www.soc.uoc.gr/asset/accepted_papers/paper112.pdf |
| Availability: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.555.5790; http://www.soc.uoc.gr/asset/accepted_papers/paper112.pdf |
| Rights: | Metadata may be used without restrictions as long as the oai identifier remains attached to it. |
| Accession Number: | edsbas.6020568 |
| Database: | BASE |