Recent Changes in Major European Stock Market Linkages‪.‬

ABSTRACT The gradual lifting of restrictions on capital movements and the relaxation of exchange controls in recent years have led to a substantial increase in international stock market activities. Due to several recent developments, many experts suggest that stock markets have moved toward a far greater degree of global integration, which has led to a renewed interest in the efficiency of international financial markets. This paper examines the extent to which the linkages of the twelve largest European stock markets have changed over the last decade. The findings suggest the presence of distinct systematic relationships among these stock markets. Such relationships, typical of the existence of overall market efficiency, make it more difficult for investors to generate abnormal rates of return in these markets.