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, M., Ossola, E., Papanagiotou, E. (2022). Financial Integration in the EU28 Equity Market: measures and drivers. JOURNAL OF FINANCIAL MARKETS, 57(January 2022) [10.1016/j.finmar.2021.100633].
Financial Integration in the EU28 Equity Market: measures and drivers
Ossola, E
;
2022
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.
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