Market integration is studied for Dutch stocks cross-listed at the NYSE.Trading starts in Amsterdam and ends in New York with a one-hour overlap.Both markets are not perfectly integrated in that they can be viewed as onemarket with the well-documented U-shape in volatility, volume and...

Within a two-step GARCH framework we explore the linkages between equity returns of ten sectors in the euro area, the United States and Japan, respectively. Our estimation framework allows a distinction to be made between spillover effects originating from one of the three currency areas and...