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Is the Swedish Stock Market Becoming more Integrated with those of Germany and France?

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Abstract

This paper tests for equity market integration between Sweden and EU countries represented by Germany and France. A new causality test method developed by Hacker and Hatemi-J (2006) is applied. This method performs better than the other methods because it is robust to non-normality and the presence of ARCH effects in the financial data. The results show that Sweden did not have a significant causal relationship with Germany and France during the period before Swedish membership in the EU. However, for the period after Sweden joined the EU (in 1995), we find that Sweden became significantly linked with both Germany and France. We interpret these empirical findings as supporting the proposition that the Swedish financial market has become more integrated with the EMU area.

Suggested Citation

  • Hatemi-J, Abdulnasser & Maneschiöld, Per-Ola & Roca, Eduardo, 2008. "Is the Swedish Stock Market Becoming more Integrated with those of Germany and France?," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 61(4), pages 665-685.
    • Handle: RePEc:ris:ecoint:0018
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    More about this item

    Keywords

    Equity Price; Exchange Rates; Leveraged Bootstrap Technique;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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