Financial Market Integration in Europe: On the Effects of EMU on Stock Markets

@inproceedings{Fratzscher2002FinancialMI,
  title={Financial Market Integration in Europe: On the Effects of EMU on Stock Markets},
  author={Marcel Fratzscher},
  year={2002}
}
This paper analyses the integration process of European equity markets since the 1980s. Its central focus is on the role that EMU, and specifically, changes in exchange rate volatility, has played in this process of financial integration. Building on an uncovered interest rate parity condition to measure financial integration, a trivariate GARCH model with time-varying coefficients yields three key results: first, European equity markets have become highly integrated only since 1996. Second… CONTINUE READING

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