caa a22 4500 605534314 CHVBK 20210128100842.0 cr unu---uuuuu 210128e20150801xx s 000 0 eng 10.1007/s10663-014-9259-x doi (NATIONALLICENCE)springer-10.1007/s10663-014-9259-x Testing stock market convergence: a non-linear factor approach [Elektronische Daten] [Guglielmo Caporale, Burcu Erdogan, Vladimir Kuzin] This paper applies the Phillips and Sul (Econometrica 75(6):1771-1855, 2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US between 1973 and 2008. We carry out the analysis on both sectors and individual industries within sectors. As a first step, we use the Stock and Watson (J Am Stat Assoc 93(441):349-358, 1998) procedure to filter the data in order to extract the long-run component of the series; then, following Phillips and Sul (Econometrica 75(6):1771-1855, 2007), we estimate the relative transition parameters. In the case of sectoral indices we find convergence in the middle of the sample period, followed by divergence, and detect four (two large and two small) clusters. The analysis at a disaggregate, industry level again points to convergence in the middle of the sample, and subsequent divergence, but a much larger number of clusters is now found. Splitting the cross-section into two subgroups including euro area countries, the UK and the US respectively, provides evidence of a global convergence/divergence process not obviously influenced by EU policies. Springer Science+Business Media New York, 2014 Stock market nationallicence Financial integration nationallicence European Monetary Union Convergence nationallicence Factor model nationallicence Caporale Guglielmo Brunel University, London, UK aut Erdogan Burcu Universität Trier, Trier, Germany aut Kuzin Vladimir ECB, Frankfurt, Germany aut Empirica Springer US; http://www.springer-ny.com 42/3(2015-08-01), 481-498 0340-8744 42:3<481 2015 42 10663 https://doi.org/10.1007/s10663-014-9259-x text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s10663-014-9259-x text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Caporale Guglielmo Brunel University, London, UK aut NATIONALLICENCE 700 1- Erdogan Burcu Universität Trier, Trier, Germany aut NATIONALLICENCE 700 1- Kuzin Vladimir ECB, Frankfurt, Germany aut NATIONALLICENCE 773 0- Empirica Springer US; http://www.springer-ny.com 42/3(2015-08-01), 481-498 0340-8744 42:3<481 2015 42 10663