The Evolution of Equity Market Integration on Sectoral Level: A time-varying approach to analyzing the impact of EMU
This thesis analyzes the evolution of integration between equity markets based on a market index and six sector indices for four countries that adopted the EMU in 1999 as well as two countries that did not. The purpose is twofold; first to identify if the integration has increased and secondly try to determine if the EMU has played a part. The estimation window is set to January 1987 to December 2