Work detail

European Stock Markets Integration

Author: Mgr. Tereza Vildová
Year: 2015 - summer
Leaders:
Consultants:
Work type: Finance, Financial Markets and Banking
Masters
Language: English
Pages: 85
Awards and prizes:
Link: https://is.cuni.cz/webapps/zzp/detail/135411/
Abstract: This thesis examines the integration of European stock markets, focusing on the affect of the
EU and Eurozone. Moreover, the thesis analyses whether increasing integration is a local
trend possibly caused by the EU and Eurozone, or whether either the Japanese or American
stock market gets more integrated with the European ones as well. We study the integration
using weekly data of eighteen European stock markets and stock markets of Japan and the US
over the horizon of twenty years. The method used is an extension by Klöessner and Wagner
(2012) of a method originally introduced by Diebold and Yilmaz (2009). We find a positive
effect of the EU on the integration of the stock markets. Also, the integration is rather local as
the American and Japanese stock markets are proved to not have a higher increase in
integration with the European stock markets that they have with each other. Finally, we find
the Eurozone does not have an immediate positive effect on the integration of the stock
markets.

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