Dynamic stock market integration driven by the European Monetary Union: An empirical analysis

Kim, S; Moshirian, F; Wu, E

Dynamic stock market integration driven by the European Monetary Union: An empirical analysis

Kim, S Moshirian, F Wu, E

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Publisher:: Elsevier Inc
Publication Type:: Journal Article
Citation:: Journal of Banking and Finance, 2005, 29 (10), pp. 2475 - 2502
Issue Date:: 2005-01

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Field	Value	Language
dc.contributor.author	Kim, S	en_US
dc.contributor.author	Moshirian, F	en_US
dc.contributor.author	Wu, E	en_US
dc.date.issued	2005-01	en_US
dc.identifier.citation	Journal of Banking and Finance, 2005, 29 (10), pp. 2475 - 2502	en_US
dc.identifier.issn	0378-4266	en_US
dc.identifier.uri	http://hdl.handle.net/10453/15889
dc.description.abstract	We examine the influence of the European Monetary Union (EMU) on the dynamic process of stock market integration over the period 2 January 198929 May 2003 using a bivariate EGARCH framework with time-varying conditional correlations. We find that there has been a clear regime shift in European stock market integration with the introduction of the EMU. The EMU has been necessary for stock market integration as unidirectional causality was found. Linear systems regression analysis shows that the increase in both regional and global stock market integration over this period was significantly driven in part, by macroeconomic convergence associated with the introduction of the EMU and financial development levels.	en_US
dc.publisher	Elsevier Inc	en_US
dc.relation.ispartof	Journal of Banking and Finance	en_US
dc.relation.isbasedon	10.1016/j.jbankfin.2004.09.002	en_US
dc.rights	Elsevier required licence: © 2005 . This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/. The definitive publisher version is available online at https://doi.org/10.1016/j.jbankfin.2004.09.002	en_US
dc.subject.classification	Finance	en_US
dc.title	Dynamic stock market integration driven by the European Monetary Union: An empirical analysis	en_US
dc.type	Journal Article
utslib.citation.volume	10	en_US
utslib.citation.volume	29	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	0102 Applied Mathematics	en_US
utslib.for	1401 Economic Theory	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	open_access
pubs.consider-herdc	false	en_US
pubs.issue	10	en_US
pubs.volume	29	en_US

Abstract:

We examine the influence of the European Monetary Union (EMU) on the dynamic process of stock market integration over the period 2 January 198929 May 2003 using a bivariate EGARCH framework with time-varying conditional correlations. We find that there has been a clear regime shift in European stock market integration with the introduction of the EMU. The EMU has been necessary for stock market integration as unidirectional causality was found. Linear systems regression analysis shows that the increase in both regional and global stock market integration over this period was significantly driven in part, by macroeconomic convergence associated with the introduction of the EMU and financial development levels.

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http://hdl.handle.net/10453/15889