Financial integration in the EU28 equity markets: Measures and drivers

被引：17
|
作者：
Nardo, M. [1 ]
Ossola, E. [1 ]
Papanagiotou, E. [1 ]
机构：
[1] European Commiss, Joint Res Ctr JRC, Rome, Italy
来源：
JOURNAL OF FINANCIAL MARKETS | 2022年 / 57卷
关键词：
Financial integration; Equity markets; Common factor approach; Diversification benefits; Drivers of integration; DIVERSIFICATION; DETERMINANTS; ARBITRAGE; NUMBER; EURO;
D O I：
10.1016/j.finmar.2021.100633
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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. (C) 2021 The Authors. Published by Elsevier B.V.
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页数：25
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