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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
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Official URL: http://dx.doi.org/10.1016/j.jbankfin.2015.06.002
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 | ||||||||||
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| Subjects: | H Social Sciences > HJ Public Finance | ||||||||||
| Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
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| 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: |
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| 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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