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CHANGES IN THE COMOVEMENT OF EUROPEAN EQUITY MARKETS
Author(s) -
ChelleySteeley Patricia L.,
Steeley James M.
Publication year - 1999
Publication title -
economic inquiry
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.823
H-Index - 72
eISSN - 1465-7295
pISSN - 0095-2583
DOI - 10.1111/j.1465-7295.1999.tb01443.x
Subject(s) - equity (law) , economics , harmonization , monetary economics , financial economics , international economics , physics , political science , acoustics , law
This paper investigates the impact that the removal of exchange controls within major European economies has had on the interdependence of European equity markets. For five years prior to the removal of exchange controls and five years following their removal, we use impulse responses and variance decompositions from vector autoregressions to illustrate that European equity markets have become substantially more integrated after the removal of exchange controls. We undertake further tests that demonstrate that, even if we allow for parallel macroeconomic harmonization, the removal of exchange controls has been a major cause of increased equity market integration within Europe. ( JEL F33, F36, G15)