Assessing Financial Integration in the European Union Equity Markets: Panel Unit Root and Multivariate Cointegration and Causality Evidence

• 영문명: Assessing Financial Integration in the European Union Equity Markets: Panel Unit Root and Multivariate Cointegration and Causality Evidence
• 발행기관: 세종대학교 경제통합연구소
• 저자명: Andrew C. Worthington Helen Higgs
• 간행물 정보: 『Journal of Economic Integration』제25권 제3호, 457~479쪽, 전체 23쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2010.09.30

영문 초록

This paper measures financial integration among selected European Union equity markets over the period July 1990 to June 2006 using daily data. Eleven markets (Austria, Belgium, Denmark, France, Germany, Greece, Ireland, Italy, Netherlands, Spain and the United Kingdom) are included in the analysis. Panel unit root tests are used to test for non-stationarity, and multivariate cointegration, Granger causality and level VAR procedures and variance decompositions are conducted to examine the equilibrium and causal relationships among these markets. The results indicate that there is a stationary long-run equilibrium relationship among and significant and substantial short and long run causal linkages between these markets. The findings offer complementary evidence that a high level of financial integration now prevails in the region.

목차

Ⅰ. Introduction

Ⅱ. Data

Ⅲ. Empirical Methodology

Ⅳ. Empirical Results

Ⅴ. Concluding Remarks

키워드

Financial Integration International Capital Allocation Economic Development and Growth Market Efficiency