Equity Price Dynamics Before and after the Introduction of the Euro: A Note

16 Pages Posted: 8 Jul 2015

See all articles by Yin-Wong Cheung

Yin-Wong Cheung

City University of Hong Kong - Department of Economics & Finance; University of California, Santa Cruz - Department of Economics; University of California at Santa Cruz - Department of Economics

Frank Westermann

University of Osnabrueck - Department of Economics; CESifo (Center for Economic Studies and Ifo Institute); CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute

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Date Written: July 7, 2015

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.

JEL Classification: G15

Suggested Citation

Cheung, Yin-Wong and Westermann, Frank, Equity Price Dynamics Before and after the Introduction of the Euro: A Note (July 7, 2015). Multinational Finance Journal, Vol. 5, No. 2, p. 113-128, 2001. Available at SSRN: https://ssrn.com/abstract=2627624

Yin-Wong Cheung (Contact Author)

City University of Hong Kong - Department of Economics & Finance ( email )

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University of California, Santa Cruz - Department of Economics ( email )

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Santa Cruz, CA 95064
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University of California at Santa Cruz - Department of Economics ( email )

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Frank Westermann

University of Osnabrueck - Department of Economics ( email )

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Osnabrueck, D-49069
Germany

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute ( email )

Poschinger Str. 5
Munich, 01069
Germany

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