Arbeitspapier

European Union enlargement and equity markets in accession countries

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The announcement of European Union enlargement coincided with a dramatic rise in stock prices in accession countries. This paper investigates the hypothesis that the rise in stock prices was a result of the repricing of systematic risk due to the integration of accession countries into the world market. We find that firm-level stock price changes are positively related to the difference between a firm’s local and world market betas. This result is robust to controlling for changes in expected earnings, country effects and other controls, although the magnitude of the effect is not very large. The differences between local and world betas explain nearly 22% of the stock price increase.

Language
Englisch

Bibliographic citation
Series: ECB Working Paper ; No. 552

Classification
Wirtschaft
Financial Aspects of Economic Integration
International Financial Markets
Asset Pricing; Trading Volume; Bond Interest Rates
Subject
asset pricing
EU enlargement
international financial integration
Börsenkurs
EU-Mitgliedschaft
Internationaler Finanzmarkt
EU-Mitgliedschaft

Event
Geistige Schöpfung
(who)
Dvorak, Tomas
Podpiera, Richard
Event
Veröffentlichung
(who)
European Central Bank (ECB)
(where)
Frankfurt a. M.
(when)
2005

Handle
Last update
10.03.2025, 11:42 AM CET

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Object type

  • Arbeitspapier

Associated

  • Dvorak, Tomas
  • Podpiera, Richard
  • European Central Bank (ECB)

Time of origin

  • 2005

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