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dc.contributor.authorWorthington, Andrew
dc.contributor.authorHiggs, Helen
dc.date.accessioned2017-10-03T05:31:55Z
dc.date.available2017-10-03T05:31:55Z
dc.date.issued2010
dc.date.modified2011-04-12T06:12:43Z
dc.identifier.issn1225-651X
dc.identifier.doi10.11130/jei.2010.25.3.457
dc.identifier.urihttp://hdl.handle.net/10072/37765
dc.description.abstractThis 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.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.languageEnglish
dc.language.isoeng
dc.publisherSejong University
dc.publisher.placeKorea
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofpagefrom455
dc.relation.ispartofpageto477
dc.relation.ispartofissue3
dc.relation.ispartofjournalJournal of Economic Integration
dc.relation.ispartofvolume25
dc.rights.retentionY
dc.subject.fieldofresearchApplied economics
dc.subject.fieldofresearchcode3801
dc.titleAssessing Financial Integration in the European Union Equity Markets: Panel Unit Root and Multivariate Cointegration and Causality Evidence
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
dc.description.versionVersion of Record (VoR)
gro.facultyGriffith Business School, Department of Accounting, Finance and Economics
gro.rights.copyright© 2010 Journal of Economic Integration. The attached file is reproduced here in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.
gro.date.issued2010
gro.hasfulltextFull Text
gro.griffith.authorWorthington, Andrew C.
gro.griffith.authorHiggs, Helen


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