Changes in the comovement of european equity markets

Patricia L. Chelley-Steeley, James M. Steeley

Research output: Contribution to journalArticlepeer-review


This paper investigates the impact that the removal of exchange controls within major European economies has had on the interdependence of European equity markets. For five years prior to the removal of exchange controls and five years following their removal, we use impulse responses and variance decompositions from vector autoregressions to illustrate that European equity markets have become substantially more integrated after the removal of exchange controls. We undertake further tests that demonstrate that, even if we allow for parallel macroeconomic harmonization, the removal of exchange controls has been a major cause of increased equity market integration within Europe.
Original languageEnglish
Pages (from-to)473-488
Number of pages16
JournalEconomic Inquiry
Issue number3
Publication statusPublished - Jul 1999


  • exchange controls
  • European economies
  • interdependence
  • European equity markets
  • vector autoregressions
  • integration
  • macroeconomic harmonization
  • equity market integration
  • Europe


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