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Assessing Financial Integration in the European Union Equity Markets: Panel Unit Root and Multivariate Cointegration and Causality Evidence
Journal of Economic Integration
This paper measures financial integration among selected European Union equity markets over the period Spain and the United Kingdom) are included in the analysis. Panel unit root tests are used to test for non-stationarity, and multivariate cointegration, Granger causality and level VAR procedures and variance decompositions are conducted to examine the equilibrium and causal relationships among these markets. The results indicate that there is a stationary long-run equilibrium relationshipdoi:10.11130/jei.2010.25.3.457 fatcat:vhyycxvkgjfjxoy37rael5d4we