European Sector Returns and Capital Market Integration
The paper tests European capital market integration at the sector level. It examines the recent trend of sector-level returns for four European countries, France, Germany, Italy, and the UK, using "return on assets" of a panel of listed firms of these countries for the period 1988-95. Initial findings suggest that sector returns have converged across countries over time. However, when integration is tested within a capital-asset pricing model framework, the country effect remains strong. The overall results support the view that European capital market integration is under way, but is far from complete. Copyright Blackwell Publishing Ltd 2003.
Year of publication: |
2003
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Authors: | Oh, Yonghyup |
Published in: |
Review of International Economics. - Wiley Blackwell, ISSN 0965-7576. - Vol. 11.2003, 3, p. 527-540
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Publisher: |
Wiley Blackwell |
Saved in:
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