Despite the rapid internationalization of the global securities market, regulatory disharmony has been a persistent obstacle to multi-jurisdictional offerings. However, the increased demand for comparable information in the analysis of investment risk necessary to the allocation of assets has...

We study a pricing model for global and local sources of risk in six Eastern European emerging stock markets. Utilizing GMM estimation and an unconditional asset-pricing framework with and without time-varying betas, we perform estimations based on monthly data from 1996 to 2007 for Poland, the...

We explore statistical commonalities among granular measures of market liquidity with the goal of illuminating systemwide patterns in aggregate liquidity. We calculate daily invariant price impacts described by Kyle and Obizhaeva [2014] to assemble a granular panel of liquidity measures for...

At the start of Solvency II in January 2016, there is no overview of the insurance market in Europe. This paper develops a methodology to link various datasets on foreign branches and subsidiaries. The result is a new and comprehensive dataset of cross-border insurance in Europe. We find that...

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...

In this paper we analyse a chronicle of economic theory on international financial integration post-WWII to the present date. Our focus is on theories that have somehow quantify the state and speed of international financial integration. We are able to contrast and compare three distinct strands...

We use industry valuation differentials across European countries to study the impact of membership in the European Union as well as the Eurozone on economic and financial integration. In integrated markets, discount rates and expected growth opportunities should be similar within one industry,...

IBOR manipulation imposed new benchmark regulations that force the market to enter a path of a reform of existing financial indices and creation of the new ones. The paper describes an evolution of two IBOR panels: one representing a global financial benchmark: LIBOR and the other representing a...

The first Asia-Europe Meeting (ASEM) Summit in 1996 has provided the principal multilateral platform for interregional cooperation between the European and Asian countries. This book examines the equity market integration among 49 ASEM members both in EU and Asia, and to investigate whether such...

Using data from 15 European Union economies, we quantify the real effects of supply-side frictions due to the financial disintegration of European countries since the 2008 financial crisis. We develop a multi-country general equilibrium model with heterogeneous countries and destination-specific...