Stock Market Integration: Analytical study of the Period

Abstract

The phenomenon of stock market integration, broadly defined as the increasing interdependence of equity markets across countries, has been widely studied in finance literature. Most empirical studies, however, examine long-run trends, crisis episodes or full-year dynamics. This paper focuses on the two-month period of November–December, exploring how seasonal factors, institutional behaviour and global linkages may affect integration metrics specifically in that period. We review the theoretical foundations of integration, summarise key empirical findings, examine seasonality in returns around year-end, and discuss how integration may amplify or dampen such year-end effects. We conclude with suggestions for future research, including leveraging high-frequency data to isolate month-specific integration changes.