Is the European Capital Market Ready for the Single Currency?
This paper defines, and investigates the extent of, capital market integration in the European Ecu government bond market sector utilising Johansen’s (1992) multivariate analysis. Evidence suggests the yield system is driven by a unique common trend, although we reject the zero‐sum restriction on th...
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| Veröffentlicht in: | Journal of business finance & accounting 1999-01, Vol.26 (1-2), p.1-32 |
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| container_end_page | 32 |
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| container_title | Journal of business finance & accounting |
| container_volume | 26 |
| creator | Bowe, Michael Mylonidis, Nikolaos |
| description | This paper defines, and investigates the extent of, capital market integration in the European Ecu government bond market sector utilising Johansen’s (1992) multivariate analysis. Evidence suggests the yield system is driven by a unique common trend, although we reject the zero‐sum restriction on the cointegrating vector. The former finding is consistent with our definition of full Ecu capital market integration, the latter is not, although it is explainable by failure of the expectations hypothesis. Our results support market utilisation of the extant Ecu yield curve as the initial benchmark for pricing euro‐denominated debt securities following stage III EMU. |
| doi_str_mv | 10.1111/1468-5957.00246 |
| format | Article |
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| identifier | ISSN: 0306-686X |
| ispartof | Journal of business finance & accounting, 1999-01, Vol.26 (1-2), p.1-32 |
| issn | 0306-686X 1468-5957 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_38707890 |
| source | RePEc; Business Source Complete; Access via Wiley Online Library |
| subjects | Accounting Bond markets Capital market capital market integration Capital markets Cointegration analysis Economic theory Ecu (euro) bonds Euro Europe Expectation Government bonds Multivariate analysis multivariate cointegration Securities prices Studies |
| title | Is the European Capital Market Ready for the Single Currency? |
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