We examine time-invariant and time-varying market integration across European stock markets. Market integration has … overall political uncertainty drive financial integration and systematic volatility, while macroeconomic variables do not … impact idiosyncratic volatility. High market integration is associated with decreasing diversification benefit. During crisis …

The study considers three broad categories of financial integration measures: (i) price-based, which capture … process of integration is well under way and has accelerated since accession to the EU. …