Comovements among European equity sectors: Selected evidence from the consumer discretionary, consumer staples, financial, industrial and materials sectors: Discussion Paper No 116
Taing, Siv Heng & Worthington, Andrew C. (2002) Comovements among European equity sectors: Selected evidence from the consumer discretionary, consumer staples, financial, industrial and materials sectors: Discussion Paper No 116. [Working Paper]
This paper examines comovements between equity sectors across European markets during the post-euro adoption period 1999-2002. The markets comprise six selected Member States of the European Union (EU): namely, Belgium, Finland, France, Germany, Ireland and Italy. The five sectors selected are classified according to the Global Industry Classification Standard (GICS). They include the consumer discretionary, consumer staples, financial, industrials and materials sectors. Multivariate cointegration procedures, Granger-causality tests and generalised variance decomposition analyses based on error-correction and vector autoregressive models are conducted to examine long and short-run relationships among these markets. The results indicate that there are few stationary long-run relationships between sectors in different markets, but many significant short-run causal linkages between these sectors. Variance decomposition indicates that the consumer discretionary, financial and materials sectors in the EU are relatively more integrated than the consumer staples and industrials sectors. However, irrespective of the sector examined the large equity markets of France, Germany and Italy remain the most influential in terms of causality and the proportion of variance accounted for by innovations in these same markets.
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|Item Type:||Working Paper|
|Keywords:||Financial integration, sectors and industries, portfolio diversification, market efficiency|
|Subjects:||Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200) > International Economics and International Finance (140210)|
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School|
|Copyright Owner:||Copyright 2002 (please consult author)|
|Deposited On:||08 Nov 2004 00:00|
|Last Modified:||05 Jan 2011 13:24|
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