European Equity Markets after the Euro: Competition and Cooperation across New Frontiers

CFA Digest ◽  
2000 ◽  
Vol 30 (4) ◽  
pp. 98-99
Author(s):  
William H. Sackley
Keyword(s):  
Equity Markets ◽  
Competition And Cooperation ◽  
European Equity

The Impact of the Euro on the Return Structure of European Equity Markets

CFA Digest ◽  
2002 ◽  
Vol 32 (3) ◽  
pp. 72-74
Author(s):  
Bruce D. Phelps
Keyword(s):  
Equity Markets ◽  
The Impact ◽  
European Equity

Modeling Common Volatility and Dynamic Risk Premia in European Equity Markets

2002 ◽  
Author(s):  
Gregory Koutmos ◽  
Johan Anders Knif ◽  
George C. Philippatos
Keyword(s):  
Equity Markets ◽  
Risk Premia ◽  
Dynamic Risk ◽  
European Equity

The relative importance of common factors across the European equity markets

1992 ◽  
Vol 16 (1) ◽  
pp. 75-95 ◽  
Author(s):  
Stan Beckers ◽  
Richard Grinold ◽  
Andrew Rudd ◽  
Dan Stefek
Keyword(s):  
Common Factors ◽  
Equity Markets ◽  
Relative Importance ◽  
European Equity

Informational efficiency of European equity markets

1991 ◽  
Vol 1 (2) ◽  
pp. 79-83
Author(s):  
Lynn Hodgkinson
Keyword(s):  
Equity Markets ◽  
Informational Efficiency ◽  
European Equity

European equity markets integration—implications for US investors

2005 ◽  
Vol 19 (1) ◽  
pp. 155-170 ◽  
Author(s):  
Xuan Vinh Vo ◽  
Kevin James Daly
Keyword(s):  
Equity Markets ◽  
European Equity

scholarly journals Volatility Spillover Effects in European Equity Markets

2005 ◽  
Vol 40 (2) ◽  
pp. 373-401 ◽  
Author(s):  
Lieven Baele
Keyword(s):  
Regional Integration ◽  
Regime Switching ◽  
Western Europe ◽  
Equity Markets ◽  
Spillover Effects ◽  
Equity Market ◽  
Monetary Integration ◽  
Time Varying ◽  
Trade Integration ◽  
European Equity

AbstractThis paper investigates to what extent globalization and regional integration lead to increasing equity market interdependence. I focus on Western Europe, as this region has gone through a unique period of economic, financial, and monetary integration. More specifically, I quantify the magnitude and time-varying nature of volatility spillovers from the aggregate European (EU) and U.S. market to 13 local European equity markets. To account for time-varying integration, I use a regime-switching model to allow the shock sensitivities to change over time. I find regime switches to be both statistically and economically important. Both the EU and U.S. shock spillover intensity increased substantially over the 1980s and 1990s, though the rise is more pronounced for EU spillovers. Shock spillover intensities increased most strongly in the second half of the 1980s and the first half of the 1990s. I show that increased trade integration, equity market development, and low inflation contribute to the increase in EU shock spillover intensity. I also find evidence for contagion from the U.S. market to a number of local European equity markets during periods of high world market volatility.

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