Financial market integration in Europe: on the effects of EMU on stock markets
本文分析了1980年代以来欧洲股票市场的一体化进程，重点研究经济货币联盟（EMU）及汇率波动变化在其中扮演的角色。研究发现，欧洲股票市场自1996年起高度一体化，欧元区市场重要性显著提升，而EMU进程尤其是汇率波动的消除是主要推动力。
Abstract This paper analyses the integration process of European equity markets since the 1980s. Its central focus is on the role that EMU, and specifically, changes in exchange rate volatility, has played in this process of financial integration. Building on an uncovered interest rate parity condition to measure financial integration, a trivariate GARCH model with time‐varying coefficients yields three key results: first, European equity markets have become highly integrated only since 1996. Second, the Euro area market has gained considerably in importance in world financial markets and has taken over from the USA as the dominant market in Europe. Third, the integration of European equity markets is in large part explained by the drive towards EMU, and in particular the elimination of exchange rate volatility and uncertainty in the process of monetary unification. Copyright © 2002 John Wiley & Sons, Ltd.