Abstract

http://ssrn.com/abstract=676082
 
 

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Dynamics of Equity Market Integration in Europe: Impact of Political Economy Factors


Cal B. Muckley


University College Dublin (UCD) - UCD Smurfit Graduate School of Business

Raj Aggarwal


University of Akron - Department of Finance

Brian M. Lucey


Trinity College, Dublin - School of Business; Trinity College (Dublin) - Institute for International Integration Studies (IIIS); Glasgow Caledonian University - Division of Accounting & Finance; University of Ljubljana - Faculty of Economics

June 1, 2006

Journal of Common Market Studies, Vol. 48, No. 3, 2010
Institute for International Integration Studies (IIIS) Working Paper No. 19

Abstract:     
Unlike most prior literature in finance and economics, this paper focuses on events in the political economy and examines the integration of European equity markets over the 1988 through 2002 period using three innovative techniques that assesses how the level of integration in equity price levels changes over time. The results show that notwithstanding the rising interdependencies between the European and US equity market until the mid-1990s, the long run integrative relationships governing the European markets began to strengthen only in the late 1990s and in particular since 1997. This evidence suggests that despite several years of political willingness by European leaders to integrate economies, it was not until the Treaty of Amsterdam and the establishment of the European Central Bank that the markets deemed that European integration would in fact occur.

Number of Pages in PDF File: 25

Keywords: Integration, Kalman Filter, EMU, Cointegration

JEL Classification: C22, E44, F36

Accepted Paper Series


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Date posted: March 4, 2005 ; Last revised: January 10, 2010

Suggested Citation

Muckley, Cal B. and Aggarwal, Raj and Lucey, Brian M., Dynamics of Equity Market Integration in Europe: Impact of Political Economy Factors (June 1, 2006). Journal of Common Market Studies, Vol. 48, No. 3, 2010; Institute for International Integration Studies (IIIS) Working Paper No. 19. Available at SSRN: http://ssrn.com/abstract=676082

Contact Information

Cal B. Muckley (Contact Author)
University College Dublin (UCD) - UCD Smurfit Graduate School of Business ( email )
Blackrock, Co. Dublin
Ireland
+353-1-716-8091 (Phone)

Raj Aggarwal
University of Akron - Department of Finance ( email )
Akron, OH 44325-4803
United States
330-972-2780 (Phone)
HOME PAGE: http://www.uakron.edu/colleges/cba/facultylist/a/aggarwal.php
Brian M. Lucey
Trinity College, Dublin - School of Business ( email )
The Sutherland Centre, Level 6, Arts Building
Dublin 2
Ireland
+353 1 608 1552 (Phone)
+353 1 679 9503 (Fax)
Trinity College (Dublin) - Institute for International Integration Studies (IIIS) ( email )
The Sutherland Centre, Level 6, Arts Building
Trinity College
Dublin 2
Ireland
Glasgow Caledonian University - Division of Accounting & Finance ( email )
Scotland
United Kingdom
University of Ljubljana - Faculty of Economics ( email )
Kardeljeva ploscad 17
Ljubljana, 1000
Slovenia
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