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

Europainstitut Working Paper No. 74

62 Pages Posted: 31 May 2007

See all articles by Peter R. Haiss

Peter R. Haiss

WU Vienna University of Economics and Business; UniCredit Bank Austria; IES Vienna - Institute for the International Education of Students

Dagmar Inzinger

affiliation not provided to SSRN

Date Written: November 2006

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.

Keywords: Financial Markets Research, Integration of Stock Markets, Integration

Suggested Citation

Haiss, Peter R. and Inzinger, Dagmar, Integration of European Stock Markets: A Review and Extension of Quantity-Based Measures (November 2006). Europainstitut Working Paper No. 74, Available at SSRN: https://ssrn.com/abstract=988673 or http://dx.doi.org/10.2139/ssrn.988673

Peter R. Haiss (Contact Author)

WU Vienna University of Economics and Business ( email )

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Dagmar Inzinger

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