The effects of the introduction of the euro on the volatility of European stock markets

Journal of Banking and Finance

Volumn 26, Issue 10, 2002, Pages 2047-2064

  Morana, Claudio ^a   Beltratti, Andrea ^b  

^a UNIVERSITY OF EASTERN PIEDMONT   (Italy)

^b BOCCONI UNIVERSITY   (Italy)

Author keywords

Euro; Markov switching model; Present discounted value model; Stock markets

Indexed keywords

EID: 0036789562     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(01)00182-0     Document Type: Article

References (27)

1. Ammer, J., Mei, J., 1996. Measuring international economic linkages with stock market data. Journal of Finance 60, 1743-1763.
2. Ang, A., Bekaert, G., 1999. International Asset Allocation with Time-Varying Correlations. Mimeo., Stanford University.
3. Ang, A., Bekaert, G., 1998. Regime switches in interest rates. National Bureau of Economic Research No. 6508.
4. Bekaert, G., Hodrick, R.J., Marshall, D.A., 1997. "Peso problem" Explanations for Term Structure Anomalies. NBER No. 6147.
5. Bollen, N.P.B., Gray, F., Whaley, R.E., 2000. Regime switching in foreign exchange rates: Evidence from currency option prices. Journal of Econometrics 94, 239-276.
6. Cai, J., 1994. A Markov model of switching regime arch. Journal of Business and Economic Statistics 12 (3), 309-316.
7. Campbell, J.Y., Ammer, J., 1993. What moves the stock and bond markets? A variance decomposition for long-term asset returns. Journal of Finance 48, 3-37.
8. Campbell, J.Y., Shiller, R.J., 1988. The dividend-price ratio and expectations of future dividends and discount factors. Review of Financial Studies 1, 195-227.
9. Davies, R.B., 1987. Hypothesis testing when a nuisance parameter is present only under the alternative. Biometrika 74, 33-43.
10. De Santis, G., Gerard, B., 1997. International asset pricing and portfolio diversification with time-varying risk. Journal of Finance 52, 1881-1912.
11. Diebold, F., 1986. Comment on modeling the persistence of conditional variance. In: Engle, R., Bollerslev, T. (Eds.), Econometric Reviews, vol. 5, pp. 51-56.
12. Dumas, B., Solnik, B., 1995. The world price of foreign exchange risk. Journal of Finance 50, 445-479.
13. Engel, C., 1994. Can the Markov switching model forecast exchange rates? Journal of International Economics 36, 151-165.
14. Engel, C., Hamilton, J.D., 1990. Long swings in the dollar: Are they in the data and do markets know it? American Economic Review 80, 689-713.
15. Gray, S.F., 1996. Modeling the conditional distribution of interest rates as a regime-switching process. Journal of Financial Economics 42, 27-62.
16. Hamilton, J.D., 1988. Rational-expectations econometric analysis of changes in regime. Journal of Economic Dynamics and Control 12, 385-423.
17. Hamilton, J.D., 1989. A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 57, 357-384.
18. Hamilton, J.D., Susmel, R., 1994. Autoregressive conditional heteroskedasticity and changes in regime. Journal of Econometrics 64, 307-333.
19. Hamilton, J.D., Lin, G., 1996. Stock market volatility and the business cycle. Journal of Applied Econometrics 11, 573-593.
20. Hansen, B.E., 1992a. The likelihood ratio test under non standard conditions: Testing the Markov switching model of GNP. Journal of Applied Econometrics 7, S61-S82.
21. Hansen, B.E., 1992b. Erratum: The likelihood ratio test under non standard conditions: Testing the Markov switching model of GNP. Journal of Applied Econometrics 11, 195-98.
22. Lamoureux, C.G., Lastrapes, W.D., 1990. Persistence in variance, structural change and the GARCH model. Journal of Business and Economic Statistics 8, 225-234.
23. Longin, F., Solnik, B., 1995. Is the correlation in international equity returns constant: 1970-1990? Journal of International Money and Finance 14, 3-26.
24. Longin, F., Solnik, B., 2000. Extreme correlation of international equity markets. Journal of Finance, forthcoming.
25. Ramehand, L., Susmel, R., 1998. Volatility and cross correlation across major stock markets. Journal of Empirical Finance 5, 397-416.
26. Simonato, J.C., 1992. Estimation of GARCH processes in the presence of structural change. Economics Letters 40, 155-158.
27. So, M.K., Lam, K., Li, N.K., 1998. A stochastic volatility model with Markov switching. Journal of Business and Economic Statistics 16, 244-253.