European Stock Market Integration: Does EMU Matter?

This study examines the impact of the recent establishment of the Economic and Monetary Union (EMU) on the long-run, short-run and contemporaneous structures of integration among eleven European and the US stock markets and the US. The results show that although two cointegrating vectors exist both...

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Veröffentlicht in:Journal of business finance & accounting 2003-12, Vol.30 (9-10), p.1253-1276
Hauptverfasser: Yang, Jian, Min, Insik, Li, Qi
Format: Artikel
Sprache:eng
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Zusammenfassung:This study examines the impact of the recent establishment of the Economic and Monetary Union (EMU) on the long-run, short-run and contemporaneous structures of integration among eleven European and the US stock markets and the US. The results show that although two cointegrating vectors exist both before and after the establishment of the EMU, the long-run linkages among these markets have generally been strengthened after the establishment of the EMU as equilibria are restored more quickly after system-wide shocks. Generalized impulse response analysis and generalized forecast error variance decomposition further indicates that large EMU markets (Germany, France, Italy and the Netherlands) are more integrated with each other after the establishment of the EMU.
ISSN:0306-686X
1468-5957
DOI:10.1111/j.0306-686X.2003.05535.x