European stock market integration: Fact or fiction?

Jorg Bley*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

28 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 languageEnglish
Pages (from-to)759-776
Number of pages18
JournalJournal of International Financial Markets, Institutions and Money
Volume19
Issue number5
DOIs
Publication statusPublished - Dec 2009
Externally publishedYes

Keywords

  • Market dynamics
  • Market integration
  • Stock return behavior

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