By Tony Southall
EU club includes political and monetary reforms
which effect monetary markets within the new member states.
This examine empirically explores and quantifies the consequences of
EU accession at the possibility and go back of fairness markets in 8
Central and jap ecu markets becoming a member of the european in 2004.
The research additionally features a evaluation of ways the impact of
macroeconomic variables and the extent of integration with
global and eu markets swap because of
Based on empirical exams utilizing weekly info over ten years,
this research concludes that european club ends up in a
significant decline in fairness industry volatility and a
significant raise in risk-adjusted, yet now not absolute,
equity returns. additionally, the learn means that fairness
markets in new ecu member states develop into more and more
influenced via worldwide instead of neighborhood macroeconomic
factors after the european accession and that the extent of integration
with worldwide markets raises.
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Additional resources for European Financial Markets: The Effects of European Union Membership on Central and Eastern European Equity Markets
2, one theoretical explanation for co-movement among asset returns is suggested in the APT (Ross, 1976) which states that asset prices are influenced by a set of economic factors. If the level of influence of a certain set of factors is the same for two separate markets, it would be reasonable to assume that the two markets display a high degree of co-movement. This sub-section derives a set of research hypotheses which jointly explore whether the level of influence of global as well as local factors on transition economy equity returns changes as a result of the EU accession.
Furthermore, the relevant research hypotheses will be derived and formulated. 1 EU Accession and Equity Market Integration For new members, the accession to the EU implies a substantial increase in the level of political and economic integration with the incumbent EU members. Given the scope and extent of this political and economic integration, it is reasonable to assume that the level of integration between financial markets is also affected. This section introduces the first research question, which aims to determine whether there is an impact of EU accession on the level of integration between equity markets in European transition economies, also referred to as local markets, and global equity markets.
045 as a result of market liberalisation. The empirical findings are in line with theoretical predictions based on the fact that the two markets become increasingly dependent on the same world factors. With the effects of the general market liberalisation and integration explored, the focus of the subsequent section is shifted toward an area of market integration that relates to a specific region in general and Central Europe in particular. 3 Regional Market Integration 25 to market access by global investors.