| Summary: | 碩士 === 國立中央大學 === 財務金融研究所 === 94 === In this thesis, we use three kinds of methodologies, which are principle components analysis, GJR-GARCH(1,1)-t model and conditional copula dependence model, to provide an comprehensive analysis of equity market integration between European countries under the industry level during the period from 1994 to 2005. The results show that the degree of integration is varied among industries and different among countries in the same industry after the introduction of the Euro. Basically, the degree of integration is higher in large equity markets than that in small equity markets. Since the impact exhibits different patterns for different industries, our results will have important implications for international portfolio and risk management. Meanwhile, the two non-Euro countries, UK and Sweden, present further integration with the Euro area across industries. This finding is consistent with the interpretation that these countries may be expected to joint the Euro in the future.
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