This paper compares the dynamics of the financial integration process as described by different empirical approaches. To this end, a wide range of measures accounting for several dimensions of integration is employed. In addition, we evaluate the performance of each measure by relying on an...

This paper evaluates and compares the dynamics of the financial integration process as described by different empirical approaches. To this end, a wide range of methods accounting for several dimensions of integration and a novel evaluation scheme – based on the positive association between...

This chapter measures financial integration in 10 industries over 4 different periods. We use two robust measures of integration: (i) the Pukthuanthong and Roll (2009)’s multi-factor R -square and (ii) the Volosovych (2011)’s integration index. Both measures, based on PCA, indicate that the...