The bilateral foreign portfolio equities among Euro area members have shrunk by 40 percent after 2007. While both the financial crisis and the enlargement are potentially responsible of this abrupt and persistent contraction in financial integration, our work detects a major role for the crisis....

The integration and/or segmentation of the ASEAN6 capital markets can provide guidance for investment diversification. Thus, this paper attempts to investigate the integration of the ASEAN6 industries with their international benchmarks using various regression models. Ten industries classified...

This paper presents indices of return and performance dispersion between ten developed domestic stock markets of the euro area to assess progress in their integration since the launch of the single currency. This approach is based on previous literature according to which domestic financial...

Within a two-step GARCH framework we explore the linkages between equity returns of ten sectors in the euro area, the United States and Japan, respectively. Our estimation framework allows a distinction to be made between spillover effects originating from one of the three currency areas and...

This paper examines the integration of stock markets in Germany, France, Netherlands, Ireland and UK over January 1973-August 2008 at the aggregate market and industry level considering the following industries: basic materials, consumer goods, industrials, consumer services, health care and...

We analyse the determinants of stock market integration among EU member states for the period 19992007. First, we apply bivariate DCC-MGARCH models to extract dynamic conditional correlations between European stock markets, which are then explained by interest rate spreads, exchange rate risk,...

As, in Europe, many institutional reforms have been undertaken to establish an economic union, it can be expected that the relevance of borders has decreased over time. For the EU 15, we investigate the expected integration process of the market for corporate control – an illustrative market...

The main objective of this paper is to study whether the introduction of the euro had an impact on the degree of integration of European Government bond markets. We adopt the CAPM-based model of Bekaert and Harvey (1995) to compare, from the beginning of Monetary Union until June 2008, the...

In this paper, we analyze whether the domiciliation decision of mutual funds has an impact on fund fees. To explain the fee price-setting of mutual funds, we consider characteristics specific to funds, fund companies, and countries. We find that fees vary considerably across fund types and...

Numerous recent studies, e.g. EU Commission (2004a), Baele et al. (2004), Adam et al. (2002), and the research pooled in ECB-CFS (2005), Gaspar, Hartmann, and Sleijpen (2003), have documented progress in EU financial integration from a micro-level view. This paper contributes to this research by...