Given the rapidly evolving nature of financial globalization, this paper models and predicts financial integration in a changing world. By decomposing integration into global risk, local risk and estimation risk, we argue that greater integration is mainly driven by global factors, not...

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....

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 1999–2007. 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...

A multivariate BEKK GARCH representation is employed to model stock market interdependence in groups of EC stock markets between 1987 and 2003. Using daily data, we estimate the effect that news or information spillovers from one market has on the next day returns in other markets. We quantify...

This paper seeks to contribute to the research on the relationship between bank efficiency and European integration in the wake of the recent financial crisis. Using Stochastic Frontier Analysis and Data Envelopment Analysis approaches, the study estimates bank efficiency for different panels of...

We analyze the determinants of stock market integration among EU member states for the period 1999–2007. 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...

I investigate the time variation in the integration of EU government bond markets. The integration is measured by the explanatory power of European factor portfolios for the individual bond markets for each year. The integration of the government bond markets is stronger for EMU than non-EMU...