European stock market integration: Fact or fiction?

Jorg Bley

doi:10.1016/j.intfin.2009.02.002

European stock market integration: Fact or fiction?

Jorg Bley^*

^*Corresponding author for this work

American University of Sharjah

Research output: Contribution to journal › Article › peer-review

30 Citations (Scopus)

Abstract

The objective of this study is to determine the dynamics and contemporaneous interactions of Euro stock markets at the country and economic sector level. Overall test results have revealed the time-varying nature of the financial market integration process. Promoted by the anticipation and subsequently the formation of the currency union Euro stock markets became more integrated between 1998 and 2006. Monetary policy convergence, however, may have facilitated the divergence of economic variables. Evidence is found that return behavior is changing and stock markets within the Euro zone are starting to drift apart.

Original language	English
Pages (from-to)	759-776
Number of pages	18
Journal	Journal of International Financial Markets, Institutions and Money
Volume	19
Issue number	5
DOIs	https://doi.org/10.1016/j.intfin.2009.02.002
Publication status	Published - Dec 2009
Externally published	Yes

Keywords

Market dynamics
Market integration
Stock return behavior

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10.1016/j.intfin.2009.02.002

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title = "European stock market integration: Fact or fiction?",

abstract = "The objective of this study is to determine the dynamics and contemporaneous interactions of Euro stock markets at the country and economic sector level. Overall test results have revealed the time-varying nature of the financial market integration process. Promoted by the anticipation and subsequently the formation of the currency union Euro stock markets became more integrated between 1998 and 2006. Monetary policy convergence, however, may have facilitated the divergence of economic variables. Evidence is found that return behavior is changing and stock markets within the Euro zone are starting to drift apart.",

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KW - Stock return behavior

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European stock market integration: Fact or fiction?

Abstract

Keywords

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