D. Kenourgios
Financial market dynamics in an enlarged European Union.
Kenourgios, D.; Samitas, A.; Paltalidis, N.
Abstract
This paper provides evidence of integration in European equity and bond markets over the period January 2, 1997 to October 1, 2006. Our focus is to examine time-varying correlation dynamics in Euro-area, Central European (CE) and Balkan financial markets, modifying the asymmetric generalized dynamic conditional correlation (AG-DCC) model developed by Cappiello, Engle and Sheppard (Journal of Financial Econometrics, 2006). Using structural breaks, we identify the optimal time decay where financial markets share highest comovement. The results show an increase in the level of dependence during the period of the internet bubble collapse (2000), the Balkan countries start formally discussions to join European Union (2000), the introduction of Euro banknotes and coins (2002) and the entry of CE countries in EU (2004). The CE European and Balkan countries become gradually more integrated with the EMU countries, which is consistent with the interpretation that these countries may be expected to join the Euro in the future.
Citation
Kenourgios, D., Samitas, A., & Paltalidis, N. (2009). Financial market dynamics in an enlarged European Union. Journal of Economic Integration, 24(2), 197-221. https://doi.org/10.11130/jei.2009.24.2.197
Journal Article Type | Article |
---|---|
Publication Date | 2009-06 |
Deposit Date | Sep 23, 2015 |
Journal | Journal of Economic Integration |
Print ISSN | 1225-651X |
Electronic ISSN | 1976-5525 |
Publisher | Center for International Economics |
Peer Reviewed | Peer Reviewed |
Volume | 24 |
Issue | 2 |
Pages | 197-221 |
DOI | https://doi.org/10.11130/jei.2009.24.2.197 |
Keywords | European financial markets, Time-varying financial dependence, Structural breaks, Dynamic conditional correlations. |
Public URL | https://durham-repository.worktribe.com/output/1422256 |
You might also like
Forward Guidance and Corporate Lending
(2021)
Journal Article
Reaching for Yield and the Diabolic Loop in a Monetary Union
(2020)
Journal Article
Tail Risks in Credit, Commodity, and Shipping Markets
(2018)
Book Chapter
Fiscal Policy Interventions at the Zero Lower Bound
(2018)
Journal Article
Downloadable Citations
About Durham Research Online (DRO)
Administrator e-mail: dro.admin@durham.ac.uk
This application uses the following open-source libraries:
SheetJS Community Edition
Apache License Version 2.0 (http://www.apache.org/licenses/)
PDF.js
Apache License Version 2.0 (http://www.apache.org/licenses/)
Font Awesome
SIL OFL 1.1 (http://scripts.sil.org/OFL)
MIT License (http://opensource.org/licenses/mit-license.html)
CC BY 3.0 ( http://creativecommons.org/licenses/by/3.0/)
Powered by Worktribe © 2024
Advanced Search