Equity market cointegration in the extended European Union

Equity markets worldwide have been on a track towards deregulation during the last two decades. International linkages between the markets have increasingly aroused the interest of scientists and the financial market community. This study examines the extent, evolution and quality of equity market cointegration in the newly extended European Union. It asks whether certain economic convergence tendencies or equity market similarities help explain the (non-) existence of equity market cointegration. Alexander Röhrs thereby places particular emphasis on the unique situation of former communist countries recently joining the EU. These new members are still struggeling in the heavy seas of the transition phase to a market economy. The study analyses the convergence process during the application process to the EU as well as to what extent actual EU membership has influenced equity market cointegration.