European Stock Market Integration: Does EMU Matter?
نویسندگان
چکیده
منابع مشابه
EMU and European Stock Market Integration
This paper examines the level of integration of European stock markets. We estimate a conditional asset pricing model, which allows for a time-varying degree of integration that measures the importance of EU-wide risk relative to country-speci c risk. The model accounts for intra-European currency risk, time-varying quantities and prices of risk. The results indicate that the degree of integrat...
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ژورنال
عنوان ژورنال: Journal of Business Finance <html_ent glyph="@amp;" ascii="&"/> Accounting
سال: 2003
ISSN: 0306-686X,1468-5957
DOI: 10.1111/j.0306-686x.2003.05535.x