Arbeitspapier
Equity Price Dynamics Before and After the Introduction of the Euro: A Note
Daily data from the German and U.S. equity markets before and after the introduction of the Euro are used to study the effect of exchange rate regime choices on equity markets. It is found that, since the introduction of the Euro, the volatility and the persistence of the German stock index have fallen significantly relative to those of the U.S. index. However, the switch in exchange rate arrangement appears to have no significant implication for the causal relationships - both the mean and variance causalities - between the two equity markets.
- Language
-
Englisch
- Bibliographic citation
-
Series: CESifo Working Paper ; No. 420
- Classification
-
Wirtschaft
International Financial Markets
- Event
-
Geistige Schöpfung
- (who)
-
Cheung, Yin-Wong
Westermann, Frank
- Event
-
Veröffentlichung
- (who)
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Center for Economic Studies and ifo Institute (CESifo)
- (where)
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Munich
- (when)
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2001
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Cheung, Yin-Wong
- Westermann, Frank
- Center for Economic Studies and ifo Institute (CESifo)
Time of origin
- 2001
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