Dynamic European stock market convergence: Evidence from rolling cointegration analysis in the first euro-decade
| dc.contributor.author | Μυλωνίδης, Νικόλαος | el |
| dc.contributor.author | Kollias, C. | en |
| dc.date.accessioned | 2015-11-24T17:04:47Z | |
| dc.date.available | 2015-11-24T17:04:47Z | |
| dc.identifier.issn | 0378-4266 | - |
| dc.identifier.uri | https://olympias.lib.uoi.gr/jspui/handle/123456789/11222 | |
| dc.rights | Default Licence | - |
| dc.subject | euro | en |
| dc.subject | stock market integration | en |
| dc.subject | structural breaks | en |
| dc.subject | rolling cointegration | en |
| dc.subject | common stochastic trends | en |
| dc.subject | numerical distribution-functions | en |
| dc.subject | multiple structural-changes | en |
| dc.subject | likelihood ratio tests | en |
| dc.subject | unit-root | en |
| dc.subject | monetary-union | en |
| dc.subject | models | en |
| dc.subject | integration | en |
| dc.subject | hypothesis | en |
| dc.subject | volatility | en |
| dc.title | Dynamic European stock market convergence: Evidence from rolling cointegration analysis in the first euro-decade | en |
| heal.abstract | The introduction of the euro epitomizes European economic integration. This paper assesses the dynamic process of convergence among four major European stock markets in the first euro-decade. Using tests that allow for endogenously determined breaks in cointegrating relationships and rolling cointegration analysis, we show that although some convergence has been taking place over time, it is very much an ongoing process. There is also evidence that the German and French markets appear to be the ones with a higher degree of convergence while the dominant position of Germany within the eurozone seems to be (re)affirmed by tests conducted herein. (C) 2010 Elsevier B.V. All rights reserved. | en |
| heal.access | campus | - |
| heal.fullTextAvailability | TRUE | - |
| heal.identifier.primary | DOI 10.1016/j.jbankfin.2010.01.012 | - |
| heal.identifier.secondary | <Go to ISI>://000280211000004 | - |
| heal.journalName | Journal of Banking & Finance | en |
| heal.journalType | peer reviewed | - |
| heal.language | en | - |
| heal.publicationDate | 2010 | - |
| heal.publisher | Elsevier | en |
| heal.recordProvider | Πανεπιστήμιο Ιωαννίνων. Σχολή Οικονομικών και Κοινωνικών Επιστημών. Τμήμα Οικονομικών Επιστημών | el |
| heal.type | journalArticle | - |
| heal.type.el | Άρθρο Περιοδικού | el |
| heal.type.en | Journal article | en |
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