Financial integration in the EU28 equity markets: Measures and drivers

M. Nardo, Elisa Ossola () and E. Papanagiotou

Journal of Financial Markets, 2022, vol. 57, issue C

Abstract: We examine time-invariant and time-varying market integration across European stock markets. Financial integration increases during the sovereign debt crisis and is mainly driven by macroeconomic variables, market capitalization, political uncertainty, and technological developments. Higher market integration is associated with decreasing diversification benefits. During crises, investors select portfolios that are not only explained by firm characteristics.

Keywords: Financial integration; Equity markets; Common factor approach; Diversification benefits; Drivers of integration (search for similar items in EconPapers)
JEL-codes: C23 F3 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (11)

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Working Paper: Financial integration in the EU28 equity markets: measures and drivers (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:57:y:2022:i:c:s138641812100015x

DOI: 10.1016/j.finmar.2021.100633

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