Title: Financial integration in the EU28 equity markets: measures and drivers: JRC Working Papers in Economics and Finance, 2020/09
Authors: NARDO MICHELAOSSOLA ELISAPAPANAGIOTOU EVANGELIA
Publisher: Publications Office of the European Union
Publication Year: 2020
JRC N°: JRC121871
ISBN: 978-92-76-22099-2 (online)
ISSN: 2467-2203 (online)
Other Identifiers: OP KJ-AE-20-012-EN-N (online)
URI: https://publications.jrc.ec.europa.eu/repository/handle/JRC121871
DOI: 10.2760/286753
Type: EUR - Scientific and Technical Research Reports
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 macroe- conomic 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.
JRC Directorate:Growth and Innovation

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