Equity Price Dynamics Before and after the Introduction of the Euro: A Note
23 Pages Posted: 5 Jan 2001
There are 2 versions of this paper
Equity Price Dynamics Before and after the Introduction of the Euro: A Note
Equity Price Dynamics Before and after the Introduction of the Euro: A Note
Date Written: February 2001
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 Classification: G15
Suggested Citation: Suggested Citation
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