European Stock Market Dynamics Before and After the Introduction of the Euro

Abstract:     
This paper addresses the following questions: Are the major European stock markets more integrated after the introduction of the Euro? How much of the change in the stock indices in different European countries can be attributed to innovations in other markets? How fast are events occurring in one European market transmitted to other markets? Vector Auto Regression models, impulses responses and variance decomposition are used to ascertain the stock market dynamics before and after the introduction of the Euro. The paper presents evidence of further integration of the European stock markets after the introduction of the Euro.

Number of Pages in PDF File: 27

Keywords: Euro, Vector Auto Regression Models, Co-movements of Stock Markets, Impulse Response, Variance Decomposition.

JEL Classification: F, G, C1, C3, C5, E44

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