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Return and volatility spillovers to industry returns : does EMU play a role?
Kaltenhäuser, Bernd - 2002
innovations to 10 economic sectors within the euro area, the United States, and the United Kingdom. We use daily data from January …
Persistent link: https://www.econbiz.de/10009767119
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Real and financial integration in Europe : evidence for the accession states and for the pre-ins
Buch, Claudia M.; Döpke, Jörg - 1999
-ins for monetary union with respect to Germany. Using tests for cointegration and common features for monthly data during the …
Persistent link: https://www.econbiz.de/10011474986
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British interest rate convergence between the US and Europe : a recursive cointegration analysis
Weber, Enzo (contributor) - 2006
Currency Union. -- Nominal Convergence ; Cointegration ; UIP ; Term Structure ; Euro Area …This paper addresses the question of the British state of convergence towards the Euro area, compared to the USA … calculations carried out in a cointegration framework. As the ecidence for the single parities remains unconvincing, UIP and EHT …
Persistent link: https://www.econbiz.de/10003324208
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Non-Linear Dynamic Linkages in the International Stock Markets
Ozdemir, Zeynel Abidin; Cakan, Esin - 2009
This study examines the dynamic relationship between the major stock indices of the US, Japan, France and the UK by using the non-linear Granger-causality test. The empirical evidence indicates that there is a strong bi-directional non-linear causal relationship between the US and the others....
Persistent link: https://www.econbiz.de/10014200485
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Has International Financial Integration Increased?
Lothian, James R.; Goldberg, Lawrence G.; Okunev, John - 2010
This paper compares the behavior of real interest rate differentials across the major countries under the Bretton Woods regime and the regime of floating exchanges that replaced it. The primary object is to investigate both the extent of market integration and its changes over time. For all...
Persistent link: https://www.econbiz.de/10014068764
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Testing for Convergence in Stock Markets : A Non-Linear Factor Approach
Caporale, Guglielmo Maria - 2009
subgroups including Euro area countries, the UK and the US respectively, provides evidence of a global convergence …
Persistent link: https://www.econbiz.de/10013155201
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Testing for Convergence in Stock Markets : A Non-Linear Factor Approach
Caporale, Guglielmo Maria - 2013
subgroups including Euro area countries, the UK and the US respectively, provides evidence of a global convergence …
Persistent link: https://www.econbiz.de/10013095490
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Stock market integration between three CEECs, Russia and the UK
Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
testing for possible shifts in the transmission of volatility following the introduction of the euro and EU accession. Further …. Furthermore, whilst the introduction of the euro has had mixed effects, EU accession has resulted in an increase in volatility …
Persistent link: https://www.econbiz.de/10003942221
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Stock Market Integration between Three CEECs, Russia and the UK
Caporale, Guglielmo Maria - 2013
testing for possible shifts in the transmission of volatility following the introduction of the euro and EU accession. Further …. Furthermore, whilst the introduction of the euro has had mixed effects, EU accession has resulted in an increase in volatility …
Persistent link: https://www.econbiz.de/10013095004
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Sovereign Bond Market Integration : The Euro, Trading Platforms and Globalization
Schulz, Alexander - 2016
euro, as well as increasing international capital flows, appear to drive low frequency integration. In contrast, yield … attributed to electronic trading platforms becoming functional. The change-over from national currencies to the euro can not …
Persistent link: https://www.econbiz.de/10012991124