Increasing convergence among European stock markets? A recursive common stochastic trends analysis

The degree of convergence among three major European stock markets is analy zed within the framework of a recursive common stochastic trends analysis. The results point towards a decreasing number of common stochastic trends i nfluencing the stock markets, i.e. the degree of convergence among European stock markets has been increased during the recent two decades. (C) 2001 E lsevier Science B.V. All rights reserved.