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
Online Access:	PDF Full Text
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