Abstract

ISLAS CAMARGO, Alejandro; SANABRIA FLORES, Tania P.  and  LOPEZ HERRERA, Francisco. Integración de los mercados financieros de Europa: El impacto de la crisis soberana de Grecia. EconoQuantum [online]. 2013, vol.10, n.2, pp.8-34. ISSN 2007-9869.

This paper examines European stock markets integration in four time horizons: the first stage covers the period prior to the formation of the Economic and Monetary Union (EMU); the second covers the last phase of formation of EMU and implementation of banknotes and coins euro denominated; the third period covers the first nine years of entry into force of a single currency, this period is characterized by stable stock markets behavior. Period fourth, which include a significant portion of former ones, covers years after the emergence of the Greek sovereign crisis. By using a multivariate stochastic volatility model of additive factors, our empirical results provide evidence of fully integrated European stock markets only in the third period, where stock market volatility behavior is similar, indicating that only one latent factor is necessary to explain most of its variability. Prior and subsequent to this period of relative calm, stock markets are unstable and have movements in their volatilities, related but not highly synchronized.

Keywords : Integración de mercados bursátiles; Unión Europea; crisis financieras; modelos de volatilidad estocástica.

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