Have the GIPSI settled down? Breaks and multivariate stochastic volatility models for, and not against, the European financial integration

Bartosz Gębka, Michail Karoglou*

*Corresponding author for this work

Research output: Contribution to journalArticle


We investigate the integration of the European peripheral financial markets with Germany, France, and the UK using a combination of tests for structural breaks and return correlations derived from several multivariate stochastic volatility models. Our findings suggest that financial integration intensified in anticipation of the Euro, further strengthened by the EMU inception, and amplified in response to the 2007/2008 financial crisis. Hence, no evidence is found of decoupling of the equity markets in more troubled European countries from the core. Interestingly, the UK, despite staying outside the EMU, is not worse integrated with the GIPSI than Germany or France.

Original languageEnglish
Pages (from-to)3639-3653
Number of pages15
JournalJournal of Banking and Finance
Issue number9
Early online date11 May 2013
Publication statusPublished - 2013



  • break tests
  • EMU
  • european integration
  • financial spillovers
  • stochastic volatility models

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