European stock market integration fact or fiction

Purpose - The paper seeks to investigate conditional correlations and conditional volatility spillovers across international stock markets and industrial sectors from the perspective of the UK investor.

It also uses the multivariate generalized autoregressive conditional heteroscedasticity MVGARCH to assess the transmission of volatility from the US and European stock markets to the UK. Findings - The findings suggest that the UK equity market is more integrated with Europe, in terms of both aggregate stock markets and sectors. Correlations are higher during bear markets and tend to fall during periods of recovery. The sectoral analysis also provides interesting insights into the dynamics of volatility transmission across sectors.

Integration, regulation, and policy of securities market infrastructures in the euro area: Journal of Financial Regulation and Compliance: Vol 14, No 4

Practical implications - The investigation raises interesting questions for investors and regulators, as well as theoretical finance. For example, the finding that correlations increase in bear markets suggests that hedging strategies need to be revisited. The existence of sectoral idiosyncratic volatility offers further evidence that arbitrage may at times become more risky and thus limited. If you experience problems downloading a file, check if you have the proper application to view it first.

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European Stock Market Integration: Does EMU Matter? - Yang - - Journal of Business Finance & Accounting - Wiley Online Library

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Bibliographic Info Article provided by Emerald Group Publishing in its journal Managerial Finance. Emerald Group Publishing, Howard Buying stocks on tsx venture exchange, Wagon Lane, Bingley, BD16 1WA, UK Web: Stock markets ; Integration ; Correlation analysis ; References No references listed on IDEAS You can help add them by filling out this form.

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Market-wide and sectoral integration. Author info Abstract Bibliographic info Download info Related research References Citations Lists Statistics Corrections. Article provided by Emerald Group Publishing in its journal Managerial Finance. HTML HTML with abstract plain text plain text with abstract BibTeX RIS EndNote, RefMan, ProCite ReDIF JSON in new window.

Stock markets ; Integration ; Correlation analysis. No references listed on IDEAS You can help add them by filling out this form.

Citations are extracted by the CitEc Projectsubscribe to its RSS feed for this item.

On the integration of European capital markets: Managerial Finance: Vol 39, No 9

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