European Financial Market Dependence: An Industry Analysis

52 Pages Posted: 13 Jun 2011 Last revised: 26 Dec 2019

See all articles by Söhnke M. Bartram

Söhnke M. Bartram

University of Warwick; Centre for Economic Policy Research (CEPR)

Yaw-Huei Wang

National Taiwan University; UNSW

Multiple version iconThere are 2 versions of this paper

Date Written: June 8, 2015


This paper uses a copula model to investigate the degree and determinants of European market dependence across 10 industries in 12 Euro zone and 8 non-Euro zone stock markets during the period 1992–2011. Most of the industries in Euro countries show a dependence increase with the Euro-area after the introduction of the Euro. The effects are strongest in countries with larger market capitalization and in the Financials, Industrials, Consumer Goods, Utilities, Technology and Telecommunications industries. Overall, the export intensity, interest rate sensitivity and competitiveness of an industry and the financial development and economic openness of a country are the most important determinants of changes in equity market dependence. The period around the Lehman collapse also shows higher equity market dependence between European countries, while the lower dependence increase during the period of the recent European sovereign debt crisis suggests that country-specific factors may matter more than before.

Keywords: Euro, International finance, Financial Markets, Dependence, Integration, Copula, GARCH

JEL Classification: F3, F4, G1

Suggested Citation

Bartram, Söhnke M. and Wang, Yaw-Huei, European Financial Market Dependence: An Industry Analysis (June 8, 2015). Journal of Banking and Finance, Vol. 59, July 2015, pp. 146-163., WBS Finance Group Research Paper No. 165, Available at SSRN: or

Söhnke M. Bartram

University of Warwick ( email )

Warwick Business School
Finance Group
Coventry, CV4 7AL
United Kingdom
+44 (24) 7657 4168 (Phone)
+1 425 952 1070 (Fax)


Centre for Economic Policy Research (CEPR) ( email )

United Kingdom

Yaw-Huei Wang (Contact Author)

National Taiwan University ( email )

Department and Graduate Institute of Finance
College of Management
Taipei, 106
+886233661092 (Phone)
+886283695581 (Fax)

UNSW ( email )

Sydney, NSW 2052

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