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Financial integration in the EU28 equity markets: Measures and drivers

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  • Nardo, M.
  • Ossola, E.
  • Papanagiotou, E.

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.

Suggested Citation

  • Nardo, M. & Ossola, E. & Papanagiotou, E., 2022. "Financial integration in the EU28 equity markets: Measures and drivers," Journal of Financial Markets, Elsevier, vol. 57(C).
    • Handle: RePEc:eee:finmar:v:57:y:2022:i:c:s138641812100015x
    DOI: 10.1016/j.finmar.2021.100633
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    3. Qin, Weiping & Cho, Sungjun & Hyde, Stuart, 2023. "Time-varying bond market integration and the impact of financial crises," International Review of Financial Analysis, Elsevier, vol. 90(C).
    4. He, Hongbo & Chen, Yiqing & Wan, Hong & Yao, Shujie, 2023. "Possibility versus feasibility: International portfolio diversification under financial liberalization," International Review of Financial Analysis, Elsevier, vol. 87(C).
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    More about this item

    Keywords

    Financial integration; Equity markets; Common factor approach; Diversification benefits; Drivers of integration;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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