Publication:
Dynamic Stock Market Integration Driven by the European Monetary Union: An Empirical Analysis

dc.contributor.author Kim, Suk-Joong en_US
dc.contributor.author Moshirian, Fariborz en_US
dc.contributor.author Wu, Eliza en_US
dc.date.accessioned 2021-11-25T13:37:41Z
dc.date.available 2021-11-25T13:37:41Z
dc.date.issued 2005 en_US
dc.description.abstract We examine the influence of the European Monetary Union (EMU) on the dynamic process of stock market integration over the period 2 January 1989-29 May 2003 using a bivariate EGARCH framework with time-varying conditional correlations. We find that there has been a clear regime shift in European stock market integration with the introduction of the EMU. The EMU has been necessary for stock market integration as unidirectional causality was found. Linear systems regression analysis shows that the increase in both regional and global stock market integration over this period was significantly driven in part, by macroeconomic convergence associated with the introduction of the EMU and financial development levels. en_US
dc.identifier.issn 0378-4266 en_US
dc.identifier.uri http://hdl.handle.net/1959.4/40150
dc.language English
dc.language.iso EN en_US
dc.rights CC BY-NC-ND 3.0 en_US
dc.rights.uri https://creativecommons.org/licenses/by-nc-nd/3.0/au/ en_US
dc.source Legacy MARC en_US
dc.title Dynamic Stock Market Integration Driven by the European Monetary Union: An Empirical Analysis en_US
dc.type Journal Article en
dcterms.accessRights open access
dspace.entity.type Publication en_US
unsw.accessRights.uri https://purl.org/coar/access_right/c_abf2
unsw.identifier.doiPublisher http://dx.doi.org/10.1016/j.jbankfin.2004.09.002 en_US
unsw.relation.faculty Business
unsw.relation.ispartofissue 10 en_US
unsw.relation.ispartofjournal Journal of Banking and Finance en_US
unsw.relation.ispartofpagefrompageto 2475-2502 en_US
unsw.relation.ispartofvolume 29 en_US
unsw.relation.originalPublicationAffiliation Kim, Suk-Joong, Banking & Finance, Australian School of Business, UNSW en_US
unsw.relation.originalPublicationAffiliation Moshirian, Fariborz en_US
unsw.relation.originalPublicationAffiliation Wu, Eliza en_US
unsw.relation.school School of Banking & Finance *
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