have changed considerably due to increased openness and integration requiring considering business cycles at regional …

We measure the time-varying degree of world stock market integration of five developed countries (Germany, France, UK …, US, and Japan) over the period 1970:1–2011:10. Time-varying financial market integration of each country is measured … through the use of state space methods that allow for GARCH errors. Our empirical results suggest that stock market …

We apply a jump GARCH model to daily returns of the ten largest international securitized real estate markets and … integration, yet the degree of political and social integration yields no additional explanatory power beyond these two factors. …

Purpose – The paper aims to investigate European equity market integration by analyzing volatility spillover effects … VAR-GARCH model for each pair of indices is examined. Findings – The results provide evidence on strong EU equity market … integration. The findings in general suggest a high degree of European equity market interconnection. This situation is depicted …

member states in the 1970s. The contribution of the euro factor to financial market integration has been more important for …We investigate financial market integration in Europe with a panel of 16 European and 4 non- European countries over … multiple common factors - a world factor and EU and euro country group factors - augmented with a local country-specific factor …

Purpose – The purpose of this paper is to examine financial integration across North American stock markets from … strong financial integration are estimated. The domestic and international model are estimated on domestic portfolios and on …, results show stronger evidence of mild rather than partial or strong integration in both domestic portfolios and interlisted …

countries, the initial members of the euro club. This exercise is implemented using hierarchical cluster analysis for pre- and … post-euro periods. As a robustness check, a principal component analysis is applied. Secondly, the analysis deploys a …

1992-2007, and their consequences for monetary policy. Our results reveal that the introduction of the euro has little …

capture the complexity of economic networks, we propose two global measures that assess the trade integration and the trade … integration, which measures the impact of a perturbation in the economy of a country on another country, possibly through … intermediate partners by domino effect. Our application addresses the impact of the launch of the Euro. We find that the indirect …