• cointegration
• Johansen approach
• Price Indexes

This thesis assesses the long-run convergence process among five major European financial markets over a period of four decades. Equity price indexes are examined first within the framework of a static cointegration analysis; the Johansen-Juselius approach is then supplemented by a dynamic rolling cointegration technique which takes into account the extent of time-varying integration from a complementary perspective. The results show that the degree of convergence among European stock markets has been increasing during the recent two decades.