Time varying integration of European stock markets and monetary drivers

Hyunchul Lee, Heeho Kim

Research output: Contribution to journalArticlepeer-review

8 Scopus citations


This study analyzes time-varying integration of stock markets among fourteen European countries and its monetary drivers relevant to the two contrasting events — the introduction of Euro in 1999 and banking crisis of GIIPS in 2011. Our panel analysis reports evidence that monetary performance convergence, lower differentials in interest rates and inflation among EU countries, has been a key driver for the increase in integration of EU stock markets post EMU. Our qualitative analysis indicates that post EMU, the GDP differences among the EU countries have reverse relations with monetary performance convergence. This finding is in line with those of our quantitative study with a price-based indicator for integration.

Original languageEnglish
Pages (from-to)369-385
Number of pages17
JournalJournal of Empirical Finance
StatePublished - Sep 2020


  • EMU
  • Monetary performance convergence
  • Realized correlation
  • Stock market integration


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