期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2008
卷号：1
出版社：European Central Bank
摘要：This paper investigates whether comovements between euro area equity returns at national and industry level have changed after the introduction of the euro. By adopting a regression quantile-based methodology, we nd that after 1999 the degree of comovements among euro area national equity markets has augmented. By explicitly controlling for the impact of global factors, we show that this result cannot be explained away by recent world-wide trends. A more rened analysis based on an industry breakdown suggests that the increase in national index comovements is mainly driven by nancial, industrials and consumer services sectors.
关键词：National and industry equity returns; euro; conditional comovements;regression quantiles
