Equity Price Dynamics Before and After the Introduction of the Euro

Cheung, Yin-Wong und Westermann, Frank (Dezember 2001): Equity Price Dynamics Before and After the Introduction of the Euro. A Note. Münchener Wirtschaftswissenschaftliche Beiträge (VWL) 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.

• Dokumententyp: Paper
• Fakultät: Volkswirtschaft ; Volkswirtschaft > Munich Discussion Papers in Economics ; Volkswirtschaft > Munich Discussion Papers in Economics > Geld ; Volkswirtschaft > Munich Discussion Papers in Economics > Finanzmärkte ; Volkswirtschaft > Munich Discussion Papers in Economics > Internationaler Handel
• Themengebiete: 300 Sozialwissenschaften > 300 Sozialwissenschaft, Soziologie ; 300 Sozialwissenschaften > 330 Wirtschaft
• JEL Classification: G15
• Sprache: Englisch