Much of the literature on the economic benefits of the European Union (EU) has focused on trade liberalization. From a portfolio management perspective, this paper employs a structural vector autoregressive model of the shift-share (SS) decomposition to demonstrate the effects of regional, country, industry, and national industry factors on stock returns. Based on post-EU data for 10 sectors and 19 countries, the relative importance of these factors driving Euro stock returns is found to be time-varying due to financial integration, the global financial crisis, the Euro debt crisis, and Brexit. We find: (1) the EU regional factor dominates the behavior of all EU and non-EU members stock returns; (2) the crises decrease both country and industry factors; (3) the crises have led to greater importance in regional factor characterizing country stock returns especially amongst countries which are more integrated with the EU; (4) national industry factor is more pertinent than the other factors and provides a portfolio’s risk reduction strategy; and (5) the regional factor dominantly explains UK stock returns variation thus generating concerns over Brexit.

有关欧盟（EU）经济利益的许多文献都集中在贸易自由化上。从投资组合管理的角度来看，本文采用了份额变动（SS）分解的结构矢量自回归模型，以证明区域，国家，行业和民族行业因素对股票收益的影响。根据10个行业和19个国家/地区的欧盟后数据，由于金融一体化，全球金融危机，欧元债务危机和英国退欧，这些因素推动欧元股票收益的相对重要性随时间变化。我们发现：（1）欧盟地区因素主导着所有欧盟和非欧盟成员国股票收益的行为；（2）危机减少了国家和行业因素；（3）危机在表征国家库存收益特征的区域因素中尤其是在与欧盟更加一体化的国家中已变得越来越重要；（4）国家产业因素比其他因素更相关，并提供了投资组合的降低风险策略；（5）地区因素主导了英国股票收益率的变化，从而引起了人们对英国退欧的担忧。