Methodology

With the research hypotheses defined and formulated in the previous chapter, the focus is shifted to describing the research methodology applied to explore and test the respective research hypotheses. In several cases, multiple approaches are applied to provide improved insights and understanding of the empirical findings.

Each research hypothesis requires a unique approach to test whether it can be rejected or not. Nevertheless, one important dimension which reoccurs across several research approaches is the date at which point effects are expected to occur. As will be discussed in the subsequent parts of this chapter, an understanding of this date is required for the analyses of all research questions. The EU accession process is discussed extensively in sub-section 5.1.3. However, in order to facilitate the discussion of the research approach it is helpful to indicate, already at this stage, that the effects of EU accession on the financial markets are expected to occur at the announcement of the accession decision rather than at the accession date itself. Further details on this assumption are provided in sub-section 5.1.3.3.

The structure of this chapter follows that of Chap. 3 in the sense that each of the four research hypotheses is discussed in a separate section. Section 4.1 introduces the methodology applied for the initial two research hypotheses, both of which relate to the impact of EU accession on the level of integration. Section 4.2 contains the details of the methodology applied to test the EU accession effects on market performance, including impact on equity market volatility and return levels.