TY - JOUR
T1 - Have the GIPSI settled down? Breaks and multivariate stochastic volatility models for, and not against, the European financial integration
AU - Gębka, Bartosz
AU - Karoglou, Michail
PY - 2013
Y1 - 2013
N2 - We investigate the integration of the European peripheral financial markets with Germany, France, and the UK using a combination of tests for structural breaks and return correlations derived from several multivariate stochastic volatility models. Our findings suggest that financial integration intensified in anticipation of the Euro, further strengthened by the EMU inception, and amplified in response to the 2007/2008 financial crisis. Hence, no evidence is found of decoupling of the equity markets in more troubled European countries from the core. Interestingly, the UK, despite staying outside the EMU, is not worse integrated with the GIPSI than Germany or France.
AB - We investigate the integration of the European peripheral financial markets with Germany, France, and the UK using a combination of tests for structural breaks and return correlations derived from several multivariate stochastic volatility models. Our findings suggest that financial integration intensified in anticipation of the Euro, further strengthened by the EMU inception, and amplified in response to the 2007/2008 financial crisis. Hence, no evidence is found of decoupling of the equity markets in more troubled European countries from the core. Interestingly, the UK, despite staying outside the EMU, is not worse integrated with the GIPSI than Germany or France.
KW - break tests
KW - EMU
KW - european integration
KW - financial spillovers
KW - stochastic volatility models
UR - http://www.scopus.com/inward/record.url?scp=84879582688&partnerID=8YFLogxK
U2 - 10.1016/j.jbankfin.2013.04.035
DO - 10.1016/j.jbankfin.2013.04.035
M3 - Article
AN - SCOPUS:84879582688
SN - 0378-4266
VL - 37
SP - 3639
EP - 3653
JO - Journal of Banking and Finance
JF - Journal of Banking and Finance
IS - 9
ER -