Arbeitspapier
Financial integration in the EU28 equity markets: Measures and drivers
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.
- ISBN
-
978-92-76-22099-2
- Sprache
-
Englisch
- Erschienen in
-
Series: JRC Working Papers in Economics and Finance ; No. 2020/09
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
- Thema
-
financial integration
equity markets
common factor approach
diversification benefits
drivers of integration
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Michela, Nardo
Elisa, Ossola
Evangalia, Papanagiotou
- Ereignis
-
Veröffentlichung
- (wer)
-
Publications Office of the European Union
- (wo)
-
Luxembourg
- (wann)
-
2020
- DOI
-
doi:10.2760/286753
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Michela, Nardo
- Elisa, Ossola
- Evangalia, Papanagiotou
- Publications Office of the European Union
Entstanden
- 2020
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