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Has the Euro Boosted Equity Markets in the Euro Area?

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  • Maher Asal

Abstract

This paper analyses the impact of the Euro on the development of equity markets in the Euro area and compares the results with those of the United States, UK, and Japan. Specifically, using data on 11 EMU countries from 1990-2010, we examine the impact of the Euro on different measures of stock market size, market liquidity, and concentration. It then uses a variety of ARFIMA and GARCH models to test whether the volatility returns have decreased following the introduction of the Euro. We found that the Euro enhances the depth and the liquidity in Euro area equity markets and that concentration and the unconditional volatility of returns have significantly increased in most Euro area equity markets. Furthermore, although our results identify the United States, Italy, Greece, and Euronext as the fastest growing markets on aggregate, it identifies Ireland and Germany as the lowest growing markets when information on market size, liquidity measures, volatility, and concentration measures Keywords- Liquidity, Concentration, ARFIMA and GARCH. JEL G11.C22.C01

Suggested Citation

  • Maher Asal, 2012. "Has the Euro Boosted Equity Markets in the Euro Area?," Journal of Business Administration Research, Journal of Business Administration Research, Sciedu Press, vol. 1(2), pages 51-70, October.
    • Handle: RePEc:jfr:jbar11:v:1:y:2012:i:2:p:51-70
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    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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