Comovement in Equity Price Indexes of the EU Stock Markets: The Information Contents of Samples of Different Frequency

Abstract

Weekly and monthly samples of MSCI equity price indexes from DatastreamInternational are used to illustrate that samples with less frequency contain less and/ordifferent information about the causal relations among equity price indexes of and thedegree of integration of the EU stock markets. Our results of the Granger causality testsindicate that the weekly sample contained more information about the short-run dynamicand long-run causal relations compared to that of the monthly sample, but the causalrelationships among price indexes were quite different between the two samples of differentfrequency. Findingsof this paper do not support Hardouvelis, Malliaropulos and Priestley’s(2006) conclusion of full integration of the EU stock markets during the 1990s. (G14)