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 …

In this article, the degree of integration between European countries is linked to the evolution of the pattern of … integration and intra-industry trade share. Interestingly, correlations have not all the same sign: positive for one group of … section, a Hansen test is computed and confirms a threshold effect of the pattern of trade on economic integration. Finally …

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 …

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. …

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 …