Determinants of European Stock Market Integration

Determinants of European Stock Market Integration

We analyse the determinants of stock market integration among EU member states for the period 1999–2007. First, we apply bivariate DCC-MGARCH models to extract dynamic conditional correlations between European stock markets, which are then explained by interest rate spreads, exchange rate risk, mark...

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Bibliografiska uppgifter
I publikationen:MAGKS - Joint Discussion Paper Series in Economics (Band 32-2009)
Huvudupphovsmän: Büttner, David, Hayo, Bernd
Materialtyp: Arbeit
Språk:engelska
Publicerad: Philipps-Universität Marburg 2009
Ämnen:
DCC-MGARCH model
Wirtschaft
Stock Market Integration
European Unification
Economics
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