Purpose – The paper aims to investigate European equity market integration by analyzing volatility spillover effects between selected indices of high liquidity from the major regulated European equity markets. Design/methodology/approach – In undertaking the empirical analysis, data for major European stock market indices were utilised. The conditional variance of the VAR-GARCH model for each pair of indices is examined. Findings – The results provide evidence on strong EU equity market integration. The findings in general suggest a high degree of European equity market interconnection. This situation is depicted through strong effects from one European equity market to the other, as well as through significant feedback effects between them. Originality/value – The high level of interconnection found among the EU stock markets exerts significant influence on the efficient operation of each market and on asset and index pricing, which has therefore to be taken into account by investors and traders as market prices are set in common.
