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European financial market dependence : an industry analysis

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Bartram, Söhnke M. and Wang, Yaw-Huei (2015) European financial market dependence : an industry analysis. Journal of Banking & Finance, 59 (1). pp. 146-163. doi:10.1016/j.jbankfin.2015.06.002 ISSN 0378-4266.

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Official URL: http://dx.doi.org/10.1016/j.jbankfin.2015.06.002

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Abstract

This paper uses a copula model to investigate the degree and determinants of European market dependence across 10 industries in 12 Euro zone and 8 non-Euro zone stock markets during the period 1992–2011. Most of the industries in Euro countries show a dependence increase with the Euro-area after the introduction of the Euro. The effects are strongest in countries with larger market capitalization and in the Financials, Industrials, Consumer Goods, Utilities, Technology and Telecommunications industries. Overall, the export intensity, interest rate sensitivity and competitiveness of an industry and the financial development and economic openness of a country are the most important determinants of changes in equity market dependence. The period around the Lehman collapse also shows higher equity market dependence between European countries, while the lower dependence increase during the period of the recent European sovereign debt crisis suggests that country-specific factors may matter more than before.

Item Type: Journal Article
Subjects: H Social Sciences > HJ Public Finance
Divisions: Faculty of Social Sciences > Warwick Business School > Finance Group
Faculty of Social Sciences > Warwick Business School
Library of Congress Subject Headings (LCSH): Eurozone, International finance
Journal or Publication Title: Journal of Banking & Finance
Publisher: Elsevier
ISSN: 0378-4266
Official Date: July 2015
Dates:
DateEvent
July 2015Published
20 June 2015Available
4 June 2015Accepted
16 June 2014Submitted
Volume: 59
Number: 1
Number of Pages: 18
Page Range: pp. 146-163
DOI: 10.1016/j.jbankfin.2015.06.002
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access
Funder: Fulbright Commission, China (Republic : 1949-). Ministry of Science and Technology

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