Artículo
How did the Sovereign debt crisis affect the Euro financial integration? A fractional cointegration approach
Autor/es | Iglesias Garrido, Jesús
Vides, José Carlos Golpe, Antonio A. |
Departamento | Universidad de Sevilla. Departamento de Economía Financiera y Dirección de Operaciones |
Fecha de publicación | 2018-11 |
Fecha de depósito | 2019-03-27 |
Premios | Premio Mensual Publicación Científica Destacada de la US. Facultad de Turismo y Finanzas |
Resumen | This paper examines financial integration among stock markets in the Eurozone using the prices from each stock index. Monthly time series are constructed for four major stock indices for the period between 1998 and 2016. ... This paper examines financial integration among stock markets in the Eurozone using the prices from each stock index. Monthly time series are constructed for four major stock indices for the period between 1998 and 2016. A fractional cointegrated vector autoregressive model is estimated at an international level. Our results show that there is a perfect and complete Euro financial integration. Considering the possible existence of structural breaks, this paper also examines the fractional cointegration within each regime, showing that Euro financial integration is very robust. However, in the financial and sovereign debt crisis regime, IBEX 35 appears to be the weak link in Euro financial integration, unless Euro financial integration recovers when this period ends. |
Identificador del proyecto | SEJ-487 |
Cita | Iglesias, J., Vides, J.C. y Golpe, A.A. (2018). How did the Sovereign debt crisis affect the Euro financial integration? A fractional cointegration approach. Empirica. Journal of European Economics, 45 (4), 685-706. |
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