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

Dagmar Inzinger, Peter Haiss

Publication: Working/Discussion PaperWU Working Paper


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. (author's abstract)
Original languageEnglish
Place of PublicationVienna
PublisherEuropainstitut, WU Vienna University of Economics and Business
Publication statusPublished - 2006

Publication series

NameEI Working Papers / Europainstitut

WU Working Paper Series

  • EI Working Papers / Europainstitut

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