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The stock market impact of German reunification: international evidence

Author

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  • Robert Brooks
  • Robert Faff
  • David Sokulsky

Abstract

This study uses a country beta market model and a multivariate GARCH conditional beta model to examine if German reunification has impacted upon country returns, across different nations. The results suggest a stronger reaction in European countries particularly those with closer economic links. The analysis also revealed that the most significant individual events occur in August 1990.

Suggested Citation

  • Robert Brooks & Robert Faff & David Sokulsky, 2005. "The stock market impact of German reunification: international evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 15(1), pages 31-42.
    • Handle: RePEc:taf:apfiec:v:15:y:2005:i:1:p:31-42
    DOI: 10.1080/0960310042000281158
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    References listed on IDEAS

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    2. Emon Kalyan Chowdhury & Iffat Ishrat Khan, 2024. "Reactions of Global Stock Markets to the Russia–Ukraine War: An Empirical Evidence," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(3), pages 755-778, September.

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