Equity Price Dynamics Before and After the Introduction of the Euro: A note
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چکیده
Daily data from the German and U.S. equity markets before and after the introduction of the Euro are used to study the effect of exchange rate regime choices on equity markets. It is found that, since the introduction of the Euro, the volatility and the persistence of the German stock index have fallen significantly relative to those of the U.S. index. However, the switch in exchange rate arrangement appears to have no significant implication for the causal relationships – both the mean and variance causalities – between the two equity markets. JEL Classification: G15 Yin-Wong Cheung University of California Department of Economics Santa Cruz, CA 95064 USA Frank Westermann CESifo (University of Munich and ifo Institute) Poschingerstr. 5 81679 Munich Germany
منابع مشابه
1 Equity Price Dynamics Before and After the Introduction of the Euro : A Note
Daily data from the German and U.S. equity markets before and after the introduction of the Euro are used to study the effect of exchange rate regime choices on equity markets. It is found that, since the introduction of the Euro, the volatility and the persistence of the German stock index have fallen significantly relative to those of the U.S. index. However, the switch in exchange rate arran...
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Daily data from the German and U.S. equity markets before and after the introduction of the Euro are used to study the effect of exchange rate regime choices on equity markets. It is found that, since the introduction of the Euro, the volatility and the persistence of the German stock index have fallen significantly relative to those of the U.S. index. However, the switch in exchange rate arran...
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