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A STUDY OF EUROPEAN EQUITY MARKETS INTEGRATION USING MULTIVARIATE DATA ANALYSIS

Our paper proposes a different approach regarding the study of financial integration among European equity markets, based on the first four moments of equity returnsdistributions for the 27 countries that are now EU members, calculated on an annual basis between 2000 and 2011. The first four moments are used as equity marketscharacteristics to identify their level of homogeneity using Statistical Cluster Analysis (SCA) and various clustering methods and amalgamation techniques. We observe the dynamic placements of EU equity markets in clusters, by taking into account the evolutions before 2008 and between 2008 and 2 011. We find that European equity markets form a heterogeneous structure, as evidenced by returns' distributions, with a number of rather stable and homogeneous clusters - formed of mature equity markets in the EU, and with other smaller clusters, with a c hanging composition, which include mostly the emerging markets, which seem to be less integrated with the other EU equity markets.