The Impact of the Euro on Equity Markets
研究欧元引入后，欧元区国家与行业层面股票收益的联动性是否改变，发现1999年后国家间联动增强，且全球因素无法解释，主要受金融、工业和消费服务行业驱动。
Abstract This paper investigates whether comovements between euro area equity returns at national and industry level changed after the introduction of the euro. By adopting a regression quantile-based methodology, we find that after 1999 the degree of comovements among euro area national equity markets was augmented. By explicitly controlling for the impact of global factors, we show that this result cannot be explained by recent worldwide trends. A more refined analysis based on an industry breakdown suggests that the increase in national index comovements is mainly driven by financial, industrial, and consumer services sectors.