We examine how Bank of Canada communications and media reporting on them impacts Canadian bond and stock market returns. Official communications exert a relatively larger influence on the bond market, whereas media coverage is more relevant for the stock market.

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...