Financial integration in the EU28 equity markets: Measures and drivers
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.
NARDO Michela;
OSSOLA Elisa;
PAPANAGIOTOU Evangelia;
2022-01-31
ELSEVIER SCIENCE BV
JRC120793
1386-4181 (online),
https://www.sciencedirect.com/science/article/pii/S138641812100015X?via%3Dihub,
https://publications.jrc.ec.europa.eu/repository/handle/JRC120793,
10.1016/j.finmar.2021.100633 (online),
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