How Did MiFID Affect Systemic Underperformance in the European Equity Market? A Tracking Error based Approach

2020 ◽  
Author(s):  
Cheikh Niang ◽  
Alois Kanyinda-Kasanda
Keyword(s):  
Tracking Error ◽  
Equity Market ◽  
European Equity

The Dynamics of Central European Equity Market Integration

2005 ◽  
Author(s):  
Claire G. Gilmore ◽  
Brian M. Lucey ◽  
Ginette M. McManus
Keyword(s):  
Market Integration ◽  
Equity Market ◽  
Central European ◽  
European Equity

Investment Styles in the European Equity Market

2000 ◽  
pp. 61-88
Author(s):  
Monica Billio ◽  
Roberto Casarin ◽  
Claire Méhu ◽  
Domenico Sartore
Keyword(s):  
Equity Market ◽  
Investment Styles ◽  
European Equity

The MiFID: Competition in a New European Equity Market Regulatory Structure

2006 ◽  
pp. 163-198 ◽  
Author(s):  
Ryan Davies ◽  
Alfonso Dufour ◽  
Brian Scott-Quinn
Keyword(s):  
Equity Market ◽  
Regulatory Structure ◽  
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.

The Greek equity market in European equity portfolios

2015 ◽  
Vol 49 ◽  
pp. 144-153 ◽  
Author(s):  
Dimitrios I. Vortelinos
Keyword(s):  
Equity Market ◽  
Equity Portfolios ◽  
European Equity

scholarly journals Converting TSX 300 Index to S&P/TSX Composite Index: Effects on the Index’s Capitalization and Performance

2016 ◽  
Vol 8 (6) ◽  
pp. 250 ◽  
Author(s):  
Shamsul Alam ◽  
Ebenezer Asem ◽  
Shirin Shams
Keyword(s):  
Important Determinant ◽  
Stock Exchange ◽  
Tracking Error ◽  
Market Performance ◽  
Composite Index ◽  
Equity Market ◽  
Toronto Stock Exchange ◽  
And Performance

<p style="margin: 0in 0in 8pt; text-align: justify; line-height: normal;">In May 2002, the TSX (Toronto Stock Exchange) 300 Index was converted to S&amp;P/TSX Composite Index, increasing the flexibility of stock addition to, and deletion from, the Index. We study whether the increased flexibility enhances the Index’s ability to mimic the Canadian equity market performance and to represent the equity market. Our results show that the S&amp;P/TSX Composite Index captures a higher proportion of the equity market and has a lower tracking error than the TSX 300 Index. This suggests that flexibility in updating the constituents of an index is an important determinant of the index’s ability to represent the underlying market.</p>

Creating a pan-European equity market: the origins of EASDAQ

2000 ◽  
Vol 7 (4) ◽  
pp. 529-573 ◽  
Author(s):  
Steven Weber ◽  
Elliot Posner
Keyword(s):  
Equity Market ◽  
European Equity

scholarly journals FACTOR INVESTING: A STOCK SELECTION METHODOLOGY FOR THE EUROPEAN EQUITY MARKET

Heliyon ◽  
2021 ◽  
pp. e08168
Author(s):  
Ramón Bermejo ◽  
Isabel Figuerola-Ferretti ◽  
Tomas Hevia ◽  
Alvaro Santos
Keyword(s):  
Equity Market ◽  
Stock Selection ◽  
Factor Investing ◽  
Selection Methodology ◽  
European Equity
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