An empirical examination of stock market integration in EMU

Florin Matei

MPRA Paper from University Library of Munich, Germany

Abstract: This thesis provides clear empirical evidence that the establishment of the EMU has influenced the stock market integration process within the Euro-area. This is mostly evident across the large four EMU-stock markets: France, Germany, Italy and Netherlands, which appear to be near to perfect integrated after 2001. A considerable influence, but at a lower extent is also found for medium sized markets of Belgium, Finland, Portugal and Spain. Smaller markets such as Greece and Ireland appear to be modestly influenced by the establishment of the EMU, while Austria is the least integrated market within the single currency area. These findings indicate that the stock market integration process remains relatively incomplete for the medium-sized and smaller markets. Thus, the EMU-area cannot yet be considered as a single financial block implying that potential benefits of international portfolio diversification still exist across the EMU countries.

Keywords: EMU; stock markets; cointegration; DCC (search for similar items in EconPapers)
JEL-codes: C50 F15 G15 O52 (search for similar items in EconPapers)
Date: 2014-12
New Economics Papers: this item is included in nep-eec and nep-fmk
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:60717

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