Faithin Omaha eBook Collection

Download or read book The Effects of the Introduction of the Euro on the Volatility of European Stock Markets written by Claudio Morana and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Have convergence of European economies and introduction of the euro produced some effects on European stock markets? Theory suggests that stabilization of fundamentals should decrease variance of stock returns for historically unstable stock markets. We test this proposition with daily data for the period 1988-1999 and apply a three-regime Markov switching model for the variance-covariance matrix among several stock indices, including the UK and the US. The analysis shows that introduction of the euro, after an initial burst of volatility common to all european stock markets, has indeed stabilized the Spanish and Italian stock markets.