This paper investigates the relationships among the European Monetary Union capital markets taking into account possible structural changes with respect to the harmonization procedure of the International Accounting Standards (IAS). According to many analysts, IAS could possibly contribute to the transparency of the transmitted information, the direct accessibility to the fundamentals of listed firms and the uniform manipulation of accounting data not only within exchanges but also between them. Based on the above, it is expected that the financial markets should react to the IAS harmonization with tighter relationships. This paper examines empirically the IAS implementation procedure in the EMU area and its impact on the relationship of the financial markets involved. By application of regime shift methodologies, the empirical findings of the paper are consistent with the hypothesis that the IAS harmonization process contributed to the informational efficiency and the transparency of financial markets, with higher degrees of interdependencies.
JEL Classification: C22, C52, C53, G15