Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/249360 
Year of Publication: 
2020
Series/Report no.: 
JRC Working Papers in Economics and Finance No. 2020/09
Publisher: 
Publications Office of the European Union, Luxembourg
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 macroeconomic 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.
Subjects: 
financial integration
equity markets
common factor approach
diversification benefits
drivers of integration
JEL: 
F3
C23
Persistent Identifier of the first edition: 
ISBN: 
978-92-76-22099-2
Creative Commons License: 
cc-by Logo
Document Type: 
Working Paper

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