IDEAS home Printed from https://ideas.repec.org/h/spr/prbchp/978-3-030-21274-2_2.html
   My bibliography  Save this book chapter

Integration Level and the Hierarchical Structure of European Stock Markets in the Years 2004–2017

In: Effective Investments on Capital Markets

Author

Listed:
  • Elżbieta Majewska

    (University of Bialystok)

Abstract

The aim of this research is to conduct a dynamic analysis of the level of integration between the European stock markets including their hierarchical structure. The analysis of the structure of links between markets allows identifying those groups of markets that have a particularly strong impact on each other and those with weaker connections. That is an important issue from the point of view of investors as strong links between markets can significantly limit the benefits of internationally diversifying investment portfolios. The study has been carried out with the use of closing prices for 35 main European stock market indices for the time period from September 2014 to August 2017. In the first step, Ward’s method was utilized to analyze the hierarchical structure of the entire set of markets. This allowed to identify groups of markets with the strongest levels of interconnectedness. Next, the level of financial integration was analyzed for the entire group of markets and for smaller subsets of the sample with the use of dynamic integration indicator—calculated as the share of variance explained by the first principal component in the overall variance of the original variables. The indicator was calculated over a moving window. This allowed not only to distinguish groups of markets with higher levels of financial integration but also to identify periods of rising and falling integration.

Suggested Citation

  • Elżbieta Majewska, 2019. "Integration Level and the Hierarchical Structure of European Stock Markets in the Years 2004–2017," Springer Proceedings in Business and Economics, in: Waldemar Tarczyński & Kesra Nermend (ed.), Effective Investments on Capital Markets, chapter 0, pages 17-32, Springer.
    • Handle: RePEc:spr:prbchp:978-3-030-21274-2_2
    DOI: 10.1007/978-3-030-21274-2_2
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:prbchp:978-3-030-21274-2_2. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.