Cappiello, Lorenzo; Kadareja, Arjan; Manganelli, Simone - In: Journal of Financial and Quantitative Analysis 45 (2010) 02, pp. 473-502
This paper investigates whether comovements between euro area equity returns at national and industry level changed after the introduction of the euro. By adopting a regression quantile-based methodology, we find that after 1999 the degree of comovements among euro area national equity markets...