This paper examines financial integration among stock markets in the Eurozone using the prices from each stock index. Monthly
time series are constructed for four major stock indices for the period between 1998 and 2016. A fractional cointegrated vector
autoregressive model is estimated at an international level. Our results show that there is a perfect and complete Euro financial
integration. Considering the possible existence of structural breaks, this paper also examines the fractional cointegration
within each regime, showing that Euro financial integration is very robust. However, in the financial and sovereign debt crisis
regime, IBEX 35 appears to be the weak link in Euro financial integration, unless Euro financial integration recovers when
this period ends.
Forschungsbereich:Makroökonomie und europäische Wirtschaftspolitik