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| Author: | Bowe, M. Mylonidis, N. |
| Title: | Is the European capital market ready for the single currency ? |
| Journal: | Journal of Business Finance and Accounting
1999 : JAN/MAR, VOL. 26:1-2, p. 1-32 |
| Index terms: | Stock markets Capital markets Currency Economic theory Prices European monetary system |
| Freeterms: | EMU |
| Language: | eng |
| Abstract: | This paper defines, and investigates the extent of, capital market integration in the European Ecu government bond market sector utilizing Johansen's (1992) multivariate analysis. Evidence suggests the yield system is driven by unique common trend, although the zero-sum restriction on the cointegrating vector is rejected. The former finding is consistent with the definition of full Ecu capital market integration, the latter is not, although it is explainable by failure of the expectations hypothesis. The results support market utilization of the extant Ecu yield curve as the initial benchmark for pricing euro denominated debt securities following stage III Emu. |
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