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dc.contributor.authorNARDO Michelaen_GB
dc.contributor.authorNDACYAYISENGA NATHALIEen_GB
dc.contributor.authorPAPANAGIOTOU EVANGELIAen_GB
dc.contributor.authorROSSI EDUARDOen_GB
dc.date.accessioned2016-04-24T00:08:52Z-
dc.date.available2016-04-22en_GB
dc.date.available2016-04-24T00:08:52Z-
dc.date.created2016-04-22en_GB
dc.date.issued2016en_GB
dc.date.submitted2016-03-08en_GB
dc.identifier.isbn978-92-79-57269-2en_GB
dc.identifier.issn1831-9424en_GB
dc.identifier.otherEUR 27792en_GB
dc.identifier.otherOP LB-NA-27792-EN-Nen_GB
dc.identifier.urihttp://publications.jrc.ec.europa.eu/repository/handle/JRC100791-
dc.description.abstractThe economic literature, while recognizing the added value of financial market integration, does not offer a clear cut answer on the best measure(s) of this integration. We compute three possible measures based on the sensitivity of domestic European stock markets to global, US or European shocks. The common rationale is to measure the extent to which domestic stock (bond) market volatility incorporates external shocks, following the idea that in more integrated markets shocks transmit more easily. The first method, based on correlation of stock market returns, offers two measures of integration. Firstly, the proportion of shocks generated in EU and US markets that actually hit EU domestic markets and secondly domestic sensitivity to foreign shocks. The third method, based on common factor portfolios, identifies a set of recurrent common patterns in EU and World stock and bond markets. Domestic returns are then matched against these global factors to see the degree of co-movement. This technical report collects JRC contribution to the European Financial Stability and Integration Review (SWD (insert number), Brussels 25 April 2016)en_GB
dc.description.sponsorshipJRC.G.1-Financial and Economic Analysisen_GB
dc.format.mediumOnlineen_GB
dc.languageENGen_GB
dc.publisherPublications Office of the European Unionen_GB
dc.relation.ispartofseriesJRC100791en_GB
dc.titleMeasuring Financial Integration in Europe: a price-based approach for equity and bond marketsen_GB
dc.typeEUR - Scientific and Technical Research Reportsen_GB
dc.identifier.doi10.2788/589345en_GB
JRC Directorate:Space, Security and Migration

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