Arbeitspapier
Testing for convergence in stock markets: a non-linear factor approach
This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the analysis on both sectors and individual industries within sectors. As a first step, we use the Stock and Watson (1998) procedure to filter the data in order to extract the long-run component of the series; then, following Phillips and Sul (2007), we estimate the relative transition parameters. In the case of sectoral indices we find convergence in the middle of the sample period, followed by divergence, and detect four (two large and two small) clusters. The analysis at a disaggregate, industry level again points to convergence in the middle of the sample, and subsequent divergence, but a much larger number of clusters is now found. Splitting the cross-section into two subgroups including Euro area countries, the UK and the US respectively, provides evidence of a global convergence/divergence process not obviously influenced by EU policies.
- Sprache
-
Englisch
- Erschienen in
-
Series: DIW Discussion Papers ; No. 932
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Portfolio Choice; Investment Decisions
International Financial Markets
- Thema
-
Stock market
financial integration
European monetary union convergence
factor model
Kapitalertrag
Börsenkurs
Internationaler Preiszusammenhang
Aktienmarkt
Marktintegration
Internationaler Finanzmarkt
Statistischer Test
Europäische Wirtschafts- und Währungsunion
Deutschland
Frankreich
Niederlande
Irland
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Caporale, Guglielmo Maria
Erdogan, Burcu
Kuzin, Vladimir N.
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsches Institut für Wirtschaftsforschung (DIW)
- (wo)
-
Berlin
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Caporale, Guglielmo Maria
- Erdogan, Burcu
- Kuzin, Vladimir N.
- Deutsches Institut für Wirtschaftsforschung (DIW)
Entstanden
- 2009
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