European Union Enlargement and Equity Markets in Accession Countries

WPIEA2005182 Image
Price:  $15.00

Author/Editor: Richard Podpiera, Tomás Dvorák
Release Date: © September, 2005
ISBN : 978-1-45186-201-0
Stock #: WPIEA2005182
English
Stock Status: On back-order

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Description

The announcement of the European Union enlargement coincided with a dramatic rise in stock prices in accession countries. This paper investigates the hypothesis that the rise in stock prices was a result of the repricing of systematic risk due to the integration of accession countries into the world market. We found that firm-level stock price changes are positively related to the difference between a firm's local and world market betas. This result is robust to controlling for changes in expected earnings, country effects, and other controls, although the magnitude of the effect is not very large. The differences between local and world betas explain nearly 22 percent of the stock price increase.

Taxonomy

Asset prices , Capital markets , Financial institutions and markets




More publications in this series: Working Papers


More publications by: Richard Podpiera ; Tomás Dvorák