The Impact of Euro on Sectoral Equity Returns and Portfolio Risk

Asal, Maher

doi:10.1007/s11294-011-9292-5

Cited by 1 publication

(1 citation statement)

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“…Second, the liberalization of capital markets in Europe has had an effect, and portfolio compositions are becoming more similar. Reduction in barriers to capital mobility with exchange rates no longer barriers to equity trading in the Euro area, a number of empirical research studies have found increased correlation among the performance of national stock markets and an overall increase in the degree of co-movement between European equity markets upon the introduction of the single currency (Asal, 2011;Cappiello et al, 2010 andAdjaouté andDanthine, 2004). As a result, portfolios have begun to be allocated along pan-European sectoral lines rather than on a country basis.…”

Section: Introductionmentioning

confidence: 99%

Has the Euro Boosted Equity Markets in the Euro Area?

Asal

2012

JBAR

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This paper analyses the impact of the Euro on the development of equity markets in the Euro area and compares the results with those of the United States, UK, and Japan. Specifically, using data on 11 EMU countries from 1990-2010, we examine the impact of the Euro on different measures of stock market size, market liquidity, and concentration. It then uses a variety of ARFIMA and GARCH models to test whether the volatility returns have decreased following the introduction of the Euro. We found that the Euro enhances the depth and the liquidity in Euro area equity markets and that concentration and the unconditional volatility of returns have significantly increased in most Euro area equity markets. Furthermore, although our results identify the United States, Italy, Greece, and Euronext as the fastest growing markets on aggregate, it identifies Ireland and Germany as the lowest growing markets when information on market size, liquidity measures, volatility, and concentration measures

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Section: Introductionmentioning

confidence: 99%