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Equity Price Dynamics Before and After the Introduction of the Euro: A Note
Yin-Wong Cheung University of California, Santa Cruz - Department of Economics; CESifo (Center for Economic Studies and Ifo Institute for Economic Research) Frank Westermann University of Osnabrueck - Department of Economics; CESifo (Center for Economic Studies and Ifo Institute for Economic Research); CESifo (Center for Economic Studies and Ifo Institute for Economic Research) - Ifo Institute for Economic Research February 2001 UC Santa Cruz Economics Working Paper No. 473; CESifo Working Paper Series No. 420 Abstract: Daily data from the German and U.S. equity markets before and after the introduction of the Euro are used to study the effect of exchange rate regime choices on equity markets. It is found that, since the introduction of the Euro, the volatility and the persistence of the German stock index have fallen significantly relative to those of the U.S. index. However, the switch in exchange rate arrangement appears to have no significant implication for the causal relationships - both the mean and variance causalities - between the two equity markets.
Keywords: Exchange Rate Regime, Market Volatility, Stock Market Interaction JEL Classifications: G15 Working Paper SeriesDate posted: January 05, 2001 ; Last revised: August 10, 2004Suggested CitationContact Information
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