Financial integration in the EU28 equity markets: Measures and drivers

Michela, Nardo; Ossola, Elisa; Παπαναγιώτου, Ευαγγελία Θωμάς

doi:10.1016/j.finmar.2021.100633

Cited by 21 publications

(8 citation statements)

References 39 publications

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“…Factors determining the composition of investment portfolios in European countries is the final object of study. The research shows benefits from diversifying investment portfolios decline at times of a high degree of financial markets' integration, which is corroborated by other authors as well (Nardo et al, 2021). Kurach (2011), confirms an increasing degree of integration aomng the equity markets in the countries explored, namely, Bulgaria, the Czech Republic, Estonia, Germany, Poland, Romania, Ukraine, Slovenia and regions like the eurozone, emerging markets, and global markets.…”

Section: A Review Of Empirical Resultssupporting

confidence: 80%

The Degree of Integration of the Bulgarian and Croatian Equity Markets into the Eurozone Share Equity Market

Bukowska¹

2021

ERSJ

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Purpose: This paper attempts to answer the question to what degree the equity markets of two countries aspiring to join the eurozone are integrated into the zone's share exchange market. Design/Methodology/Approach: An econometric model based on the model of increased impact of the common news component on stock market yields by means of GARCH is applied to the analysis of the degree of integration of the Bulgarian and Croatian equity markets into the eurozone equity market. Monthly data on the yields on CROBEX (Croatia), SOFIX (Bulgaria), DJ EUROSTOXX (the euro area), DJ COMPOSITE AVERAGE (the United States) are used. Findings: Both the Bulgarian and Croatian equity markets are integrated into the eurozone equity market to a low degree, which means idiosyncratic shocks play a dominant role in determining yields on the indices in these countries. Practical Implications:The results presented in this paper can be employed by economists, politicians, and business practitioners who deal with the integration of financial markets including equity markets. Originality/Value: This study addresses two countries that are aspiring and closest to joining the eurozone, hence research into the degree of integration of the equity markets of both these countries into the eurozone market is important.

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Section: A Review Of Empirical Resultssupporting

confidence: 80%

The Degree of Integration of the Bulgarian and Croatian Equity Markets into the Eurozone Share Equity Market

Bukowska¹

2021

ERSJ

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“…Potential positive and negative effects of stock market integration have been pointed out in several studies, as can be seen, for example, in Bekaert et al (2013) and most recently in Nardo et al (2022). However, our main aim in the brief literature review is to understand the dynamics of influéncé among European stock market indices (both statically and dynamically).…”

Section: Brief Literature Reviewmentioning

confidence: 99%

The use of transfer entropy to analyse the comovements of European Union stock markets: a dynamical analysis in times of crises

Ferreira

Almeida

Dionísio

et al. 2022

RGE

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Understanding the linkages among stock markets holds great importance for investors, policymakers and portfolio managers. When considering the integration of international stock markets and given they are complex systems, it is important to understand how they are related and how they influence each other. Studying data from 25 European Union stock market indices, this piece of research aims to evaluate the dynamics of influence among them. In terms of method, a non-linear approach has been applied, based on transfer entropy with static and dynamic analysis. As the main finding, a strongly influential relationship between some indices should be highlighted. The static analysis allows us to infer that central and western European Union countries are the main influencers, while the dynamic analysis leads us to the conclusion that the relationships between the stock markets have changed over time, revealing their dynamism. The results obtained have several implications. For instance, for investors and portfolio managers, the information about comovements is relevant for diversification purposes and for their decisions on where to make their investments, build portfolio strategies and manage risks; however, for policymakers, the constant monitoring of stock markets may detect increases in the connection between markets, which could be understood as signs of instability.

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“…Akbari et al (2021): 𝐼𝑁𝑉 𝑃 : = investment profile index constructed to assess factors (i.e., country expropriation, profits repatriation, and payment delays) affecting the risk to investment and 𝐼𝑁𝑇 𝐸𝑅𝑁𝐸𝑇 = annual number of internet users per 1000 people. Nardo et al (2022): 𝐼𝑁𝑇 𝐸𝑅𝑁𝐸𝑇 = individuals using the Internet (% of population) and 𝐸𝑃 𝑈 = European policy-related economic uncertainty. Akbari et al (2021) propose a new approach to identifying drivers of EI and FI, separately, and across EM and ADV.…”

Section: Financial Integration Driversmentioning

confidence: 99%

Financial market integration: A complex and controversial journey

Donadelli,

Gufler,

Paradiso

2024

International Review of Financial Analysis

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Financial integration in the EU28 equity markets: Measures and drivers

Cited by 21 publications

References 39 publications

The Degree of Integration of the Bulgarian and Croatian Equity Markets into the Eurozone Share Equity Market

The Degree of Integration of the Bulgarian and Croatian Equity Markets into the Eurozone Share Equity Market

The use of transfer entropy to analyse the comovements of European Union stock markets: a dynamical analysis in times of crises

Financial market integration: A complex and controversial journey

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