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

27 Pages Posted: 11 Nov 2005

See all articles by Joseph Friedman

Joseph Friedman

Temple University - Department of Economics

Yochanan Shachmurove

City University of New York, CUNY City College of New York - Department of Economics; The University of Pennsylvania - Department of Economics

Date Written: October 2005

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.

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

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

Suggested Citation

Friedman, Joseph and Shachmurove, Yochanan, European Stock Market Dynamics Before and after the Introduction of the Euro (October 2005). PIER Working Paper No. 05-028, Available at SSRN: https://ssrn.com/abstract=846317 or http://dx.doi.org/10.2139/ssrn.846317

Joseph Friedman (Contact Author)

Temple University - Department of Economics ( email )

Philadelphia, PA 19122
United States

Yochanan Shachmurove

City University of New York, CUNY City College of New York - Department of Economics ( email )

160 Convent Avenue
New York, NY 10031
United States
212-650-6202 (Phone)

The University of Pennsylvania - Department of Economics ( email )

Ronald O. Perelman Center for Political Science
133 South 36th Street
Philadelphia, PA 19104-6297
United States
215-898-1090 (Phone)
215-573-2057 (Fax)

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