Within a two step GARCH framework we estimate the time-varying spillover effects from European and US return innovations to 10 economic sectors within the euro area, the United States, and the United Kingdom. We use daily data from January 1988 - March 2002. At the beginning of our sample...

This paper presents indices of return and performance dispersion between ten developed domestic stock markets of the euro area to assess progress in their integration since the launch of the single currency. This approach is based on previous literature according to which domestic financial...