Dynamics of Equity Market Integration in Europe: Impact of Political Economy Events

20 Pages Posted: 10 May 2010

See all articles by Brian M. Lucey

Brian M. Lucey

Trinity Business School, Trinity College Dublin; Ho Chi Minh City University of Economics and Finance; Jiangxi University of Finance and Economics

Raj Aggarwal

University of Akron; Federal Reserve Banks - Federal Reserve Bank of Cleveland; Kent State University; Kent State University Foundation

Abstract

Unlike most prior literature in finance and economics, this article focuses on events in the political economy and examines the integration of European equity markets over the 1988 through 2002 period using two innovative techniques that assess how the level of integration in equity price indices changes over time. The results show that notwithstanding the rising interdependencies between the European and US equity markets during the mid- to late 1990s, the long-run integrative relationships governing the European markets strengthen only in the late 1980s. This evidence suggests that despite several years of political willingness by European leaders to integrate economies, the equity markets only responded to the Delors Report (1989) and the Strasbourg Declaration (1989) that the European Economic Community would move towards European Monetary Union, but they provided little positive long-run response to subsequent developments pertaining to European Monetary Union.

Suggested Citation

Lucey, Brian M. and Aggarwal, Raj, Dynamics of Equity Market Integration in Europe: Impact of Political Economy Events. JCMS: Journal of Common Market Studies, Vol. 48, No. 3, pp. 641-660, June 2010, Available at SSRN: https://ssrn.com/abstract=1600976 or http://dx.doi.org/10.1111/j.1468-5965.2010.02067.x

Brian M. Lucey (Contact Author)

Trinity Business School, Trinity College Dublin ( email )

The Sutherland Centre, Level 6, Arts Building
Dublin 2
Ireland
+353 1 608 1552 (Phone)
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Ho Chi Minh City University of Economics and Finance ( email )

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Ho Chi Minh City, Ho Chi Minh 70000
Vietnam

Jiangxi University of Finance and Economics ( email )

South Lushan Road
Nanchang, Jiangxi 330013
China

Raj Aggarwal

University of Akron ( email )

Akron, OH 44325-4803
United States

Federal Reserve Banks - Federal Reserve Bank of Cleveland ( email )

East 6th & Superior
Cleveland, OH 44101-1387
United States

Kent State University ( email )

College of Business Administration
Kent, OH 44242-0001
United States

Kent State University Foundation ( email )

Akron, OH 44325-4803
United States

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