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

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Title Assessing Financial Integration in European Union Equity Markets: Panel Unit Root and Multivariate Cointegration and Causality Evidence
Author Worthington, Andrew Charles; Higgs, Helen
Journal Name Journal of Economic Integration
Year Published 2010
Place of publication Korea
Publisher Sejong University
Abstract 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.
Peer Reviewed Yes
Published Yes
Publisher URI http://www.sejong.ac.kr/
Alternative URI http://sejong.metapress.com/link.asp?id=g5153213v2rqw5v8
Copyright Statement Self-archiving of the author-manuscript version is not yet supported by this journal. Please refer to the journal link for access to the definitive, published version or contact the authors for more information.
Volume 25
Issue Number 3
Page from 455
Page to 477
ISSN 1225-651X
Date Accessioned 2011-02-18
Language en_AU
Research Centre Griffith Asia Institute
Faculty Griffith Business School
Subject International Economics and International Finance
URI http://hdl.handle.net/10072/37765
Publication Type Journal Articles (Refereed Article)
Publication Type Code c1

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