TY - UNPB
T1 - Will the crisis "tear us apart"? Evidence from the EU
AU - Pappas, Vasileios
AU - Ingham, Hilary
AU - Izzeldin , Marwan
AU - Steele, G. R.
PY - 2013/10/1
Y1 - 2013/10/1
N2 - We examine the synchronization of European Union (EU) financial markets before and during the recent financial crisis. A DCC-GARCH framework captures dynamic correlations and a Markov-Switching framework captures regime changes. For the 27 nations of the EU, we formulate characteristics of the crisis: transition dates, duration and intensity. As compared to established members of the EU, recent entrants to the EU entered the crisis at later dates and were less adversely affected. Consistent with the literature on financial contagion, we identify a significant strengthening of correlations between stock markets, particularly for recent entrants. Higher levels of sovereign debt and lower industrialization are associated with the intensity of the crisis experienced. In finding evidence of a core-against-periphery EU, our results refute the notion of uniform integration of EU financial markets.
AB - We examine the synchronization of European Union (EU) financial markets before and during the recent financial crisis. A DCC-GARCH framework captures dynamic correlations and a Markov-Switching framework captures regime changes. For the 27 nations of the EU, we formulate characteristics of the crisis: transition dates, duration and intensity. As compared to established members of the EU, recent entrants to the EU entered the crisis at later dates and were less adversely affected. Consistent with the literature on financial contagion, we identify a significant strengthening of correlations between stock markets, particularly for recent entrants. Higher levels of sovereign debt and lower industrialization are associated with the intensity of the crisis experienced. In finding evidence of a core-against-periphery EU, our results refute the notion of uniform integration of EU financial markets.
UR - http://dx.doi.org/10.2139/ssrn.2411978
UR - http://papers.ssrn.com
U2 - 10.2139/ssrn.2411978
DO - 10.2139/ssrn.2411978
M3 - Working paper
BT - Will the crisis "tear us apart"? Evidence from the EU
CY - Lancaster, U. K.
ER -