Financial integration of new EU Member States

The ECB Working Paper "Financial integration of new EU Member States" assesses the degree of financial integration for a selected number of new EU member states between themselves and with the euro zone.

Within the framework of a factor model for market returns, we measure integration as the amount of variance explained by the common factor relative to the local components. We show that this measure of integration coincides with return correlation. Correlations are proxied by comovements

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