LAUSR

This study analyses and compares the dynamics of intra-European Monetary Union (EMU) and intra-non-EMU, European Union (EU) stock markets’ return spillover during European Sovereign Debt Crisis (November 2, 2009 to December 30, 2016). Diebold and Yilmaz (Int J Forecast 28(1):57–66, 2012) spillover index, Barunik et al. (J Int Money Finance 77:39–56, 2017) spillover asymmetry measures, and Barunik and Krehlík (J Financ Econ 16(2):271–296, 2018) frequency connectedness methodologies are applied for analysis. The findings of this study indicate that intra-EMU stock market return spillover was higher than the intra-non-EMU European Union stock markets’ return spillover during the crisis period. It is also identified that the intra-EMU stock market return spillover is more responsive to global and domestic economic and financial events as compared to the intra-non-EMU EU stock markets’ return spillover. France was identified as the most integrated and Slovakia the least integrated among the EMU stock markets. Among the non-EMU EU stock markets, Sweden was identified as the most integrated and Bulgaria as the least integrated stock market with other non-EMU EU stock markets. The presence of asymmetry in the return spillover for both EMU and non-EMU, EU stock markets was also revealed. It was also found that return spillover among the EMU and non-EMU, EU stock market is dominated over higher frequencies and that stock markets in these economies analyse information rapidly to incorporate it into stock prices. The findings of the study provide significant implication for researchers, academician and policy makers. Knowledge regarding the dynamics of return spillover among the investigated stock markets will allow investors to formulate their portfolio diversification strategies in a better and informed manner.