We examine time-invariant and time-varying market integration across European stock markets. Financial integration increases during the sovereign debt crisis and is mainly driven by macroeconomic variables, market capitalization, political uncertainty, and technological developments. Higher market integration is associated with decreasing diversification benefits. During crises, investors select portfolios that are not only explained by firm characteristics.

中文翻译：

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欧盟 28 国股票市场的金融一体化：措施和驱动因素

我们研究了欧洲股票市场的时不变和时变市场整合。主权债务危机期间金融一体化程度提高，主要受宏观经济变量、市值、政治不确定性和技术发展的推动。更高的市场整合与降低多元化收益有关。在危机期间，投资者选择的投资组合不仅仅由公司特征来解释。