Cappiello, Lorenzo; Gérard, Bruno; Kadareja, Arjan; … - European Central Bank - 2006
This study assesses the degree of financial integration for a selected number of new EU member states between … themselves and with the euro zone. Within the framework of a factor model for market returns, we measure integration as the … amount of variance explained by the common factor relative to the local components. We show that this measure of integration …