Financial integration in the EU28 equity markets: measures and drivers

Michela Nardo, Elisa Ossola () and Evangelia Papanagiotou

No 2020-09, JRC Working Papers in Economics and Finance from Joint Research Centre, European Commission

Abstract: We examine time-invariant and time-varying market integration across European stock markets. Market integration has been increasing especially during the crisis period. Among others, market capitalization, technological developments and overall political uncertainty drive financial integration and systematic volatility, while macroeconomic variables do not impact idiosyncratic volatility. High market integration is associated with decreasing diversification benefit. During crisis periods investors select portfolios that are not explained only 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)
Pages: 53 pages
Date: 2020-09
New Economics Papers: this item is included in nep-eec, nep-fdg, nep-fmk, nep-isf and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Published by Publications Office of the European Union, 2020

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Related works:
Journal Article: Financial integration in the EU28 equity markets: Measures and drivers (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:jrs:wpaper:202009

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