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Integration of European Stock Markets. A Review and Extension of Quantity-Based Measures.

Inzinger, Dagmar and Haiss, Peter (2006) Integration of European Stock Markets. A Review and Extension of Quantity-Based Measures. EI Working Papers / Europainstitut, 74. Europainstitut, WU Vienna University of Economics and Business, Vienna.

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Abstract

We examine to what extent Europe´s stock markets are integrated, and how this can be measured. We review 54 empirical studies and find an overemphasis on price-based measures and a need for more quantity-based studies. We update the Baele et al (2004) study on investment funds' equity holdings to March 2006 for ten euro area and four non-euro area countries, provide additional quantity based evidence, and discuss integration theories. Our results indicate a decline in home bias particularly after the advent of the euro. We conclude that although European stock markets have undergone significant developments, the level of European integration is below expectations and there is a high joint integration with the U.S. (author's abstract)

Item Type: Paper
Keywords: financial markets research / integration of stock markets / integration measurement / quantity-based indicators
Divisions: Forschungsinstitute > Europafragen
Depositing User: Repository Administrator
Date Deposited: 23 Nov 2006 11:18
Last Modified: 03 Aug 2015 07:01
URI: http://epub.wu.ac.at/id/eprint/320

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