Determinants of European Stock Market Integration

We analyse the determinants of stock market integration among EU member states for the period 1999–2007. First, we apply bivariate DCC-MGARCH models to extract dynamic conditional correlations between European stock markets, which are then explained by interest rate spreads, exchange rate risk, market capitalisation, and business cycle synchronisation in a pooled OLS model. By grouping the countries into euro area countries, “old” EU member states outside the euro area, and new EU member states, we also evaluate the impact of euro introduction and the European unification process on stock market integration. We find a significant trend toward more stock market integration, which is enhanced by the size of relative and absolute market capitalisation and hindered by foreign exchange risk between old member states and the euro area. Interest rate spreads and business cycle synchronisation do not appear to play an important role in explaining equity market integration.Stock Market Integration, European Unification, DCC-MGARCH model

Nominal C-Unification

Nominal unification is an extension of first-order unification that takes into account the \alpha-equivalence relation generated by binding operators, following the nominal approach. We propose a sound and complete procedure for nominal unification with commutative operators, or nominal C-unification for short, which has been formalised in Coq. The procedure transforms nominal C-unification problems into simpler (finite families) of fixpoint problems, whose solutions can be generated by algebraic techniques on combinatorics of permutations.Comment: Pre-proceedings paper presented at the 27th International Symposium on Logic-Based Program Synthesis and Transformation (LOPSTR 2017), Namur, Belgium, 10-12 October 2017 (arXiv:1708.07854