Equity Price Dynamics Before and After the Introduction of the Euro

Cheung, Yin-Wong and Westermann, Frank (December 2001): Equity Price Dynamics Before and After the Introduction of the Euro. A Note. Discussion Papers in Economics 2001-6

Abstract

Daily data from the German and U.S. equity markets before and after the introduction of the Euro are used to study the effect of exchange rate regime choices on equity markets. It is found that, since the introduction of the Euro, the volatility and the persistence of the German stock index have fallen significantly relative to those of the U.S. index. However, the switch in exchange rate arrangement appears to have no significant implication for the causal relationships - both the mean and varianc causalities - between the two equity markets.

• Item Type: Paper (Discussion Paper)
• Subjects: Economics; Economics > Discussion Papers in Economics; Economics > Discussion Papers in Economics > Money; Economics > Discussion Papers in Economics > Financial Markets; Economics > Discussion Papers in Economics > International Trade
• Dewey Classification: 300 Social sciences; 300 Social sciences > 330 Wirtschaft
• Journal of Economic Literature classification: G15
• Language: English