期刊名称：International Business & Economics Research Journal
印刷版ISSN：1535-0754
电子版ISSN：2157-9393
出版年度：2011
卷号：8
期号：11
语种：English
出版社：The Clute Institute for Academic Research
摘要：This paper analyzes the effect of the European monetary unification and economic liberalization in a sample of three EMU (France, Germany, Netherlands) and two non-EMU (U.K. and Switzerland) countries, as well as the European market index and a currency index, using data from March 1984 to November 2002. We utilize a multivariate GARCH framework and estimate jointly all parameters in the model. The study reveals that financial markets in Europe followed a gradual integration process. We also find that the Euro countries generally display higher degrees of market integration compared to the non-Euro countries in our sample.
关键词：Market integration;capital market;International Asset Pricing Model;currency risk;European Monetary Union
