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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Bibliographic Details
Published in:MAGKS - Joint Discussion Paper Series in Economics (Band 32-2009)
Main Authors: Büttner, David, Hayo, Bernd
Format: Work
Language:English
Published: 2009
Subjects:
Stock Market Integration
DCC-MGARCH model
Wirtschaft
European Unification
Economics
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Call Number: urn:nbn:de:hebis:04-es2024-00139
Publication Date: 2024-01-02
Downloads: 31 (2024)
License: https://creativecommons.org/publicdomain/mark/1.0
Access URL: https://archiv.ub.uni-marburg.de/es/2024/0013
https://doi.org/10.17192/es2024.0013

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