China USA Business Review2011 1011 (original) (raw)
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Financial integration of stock markets among new EU member states and the euro area
2007
The paper considers the empirical dimension of financial integration among stock markets in four new European Union member states (the Czech Republic, Hungary, Poland and Slovakia) in comparison with the euro area. The main objective is to test for the existence and determine the degree of the four states’ financial integration relative to the euro currency union. The analysis is performed at the country level (using national stock exchange indices) and at the sectoral level (considering banking, chemical, electricity and telecommunication indices). Our empirical evaluation consists of (1) an analysis of alignment (by means of standard and rolling correlation analysis) to outline the overall pattern of integration; (2) the application of the concept of beta convergence (through the use of time series, panel and state-space techniques) to identify the speed of integration; and (3) the application of so-called sigma convergence to measure the degree of integration. We find evidence of stock market integration on both the national and sectoral levels between the Czech Republic, Hungary, Poland and the euro area
The co-integration of European stock markets after the launch of the euro
Panoeconomicus, 2008
This article studies the international integration of the national stock markets of sixteen European countries. The international financial market is represented by two indices: a European index and a World index. The methodology of co-integration, used in this article, is the proper econometrical solution for the treatment of non-stationary series as those used in the present research. Complementarily, co-integration offers the possibility of distinguishing the long-term and the short-term interdependence, which very important when the variables are financial market indices. The empirical tests in this research have shown that both European and non European international factors are necessary to explain the international integration of the national stock markets under analysis. .
Stock market integration between new EU member states and the Euro-zone
Empirical Economics, 2009
This paper measures the degree in stock market integration between five Eastern European countries and the Euro-zone. A potentially gradual transition in correlations is accommodated by smooth transition conditional correlation models. We find that the Czech, Slovenian and Polish markets have increased their correlation to the Euro-zone from 1997 to 2008. However, this is not a broad-based phenomenon across Eastern Europe. The results also show that the increase in correlations is not a reflection of a worldwide phenomenon of financial integration but is mainly driven by EU-related developments.
This paper examines the extent of financial integration in European equity markets before, during and after the adoption of the single currency on 1 January 1999. Two groups of European economies are examined. The first set comprises the Member States of the European Union (EU) that participated in the euro (the Euro-11) Portugal and Spain]. The second set consists of the remaining Members of the Euro-15 [Denmark, Greece, Sweden and the United Kingdom] along with Norway and Switzerland. Multivariate cointegration procedures, Granger-causality tests and generalised variance decomposition analyses based on error-correction and vector autoregressive models are conducted to examine long and short-run relationships among these markets. The results indicate that there is a stationary long-run relationship and significant short-run causal linkages between the equity markets of both the euro and non-euro currency areas. However, while the large equity markets remain the most influential, the lower causal relationships that exist between these and at least some middle (Belgium, Spain and Netherlands) and small (Ireland, Luxembourg, Finland and Norway) equity markets suggests that opportunities for international portfolio diversification in European equity markets may still exist.
2 Dynamics of Equity Market Integration in Europe : Evidence of Changes with Events and Over Time
2005
This paper examines the integration of European equity markets over 1985-2002 using a relatively new set of three dynamic techniques that measure the extent of timevarying equity market integration from complementary perspectives. All three techniques are in agreement that there has been an increased degree of integration among European equity markets especially since the 1997-98 period. This evidence shows that despite several years of demonstrating political willingness by European leaders to integrate their economies, it was not until the establishment of the EMU and the ECB during 1997-98 that the markets deemed that European integration would in fact occur. We also show that despite this increased integration, the European equity markets are still dominated by the US market and are in fact convergent towards this market rather than a common internal measure.
Dynamics of Equity Markets Integration in Europe: Evidence of Change with Events and over Time
2005
This paper examines the integration of European equity markets over 1985-2002 using a relatively new set of three dynamic techniques that measure the extent of timevarying equity market integration from complementary perspectives. All three techniques are in agreement that there has been an increased degree of integration among European equity markets especially since the 1997-98 period. This evidence shows that despite several years of demonstrating political willingness by European leaders to integrate their economies, it was not until the establishment of the EMU and the ECB during 1997-98 that the markets deemed that European integration would in fact occur. We also show that despite this increased integration, the European equity markets are still dominated by the US market and are in fact convergent towards this market rather than a common internal measure.
Integration and competition in the European financial markets
Journal of International Money and Finance, 2007
Financial integration in Europe should affect the competition between markets and intermediaries and generate a convergence of both interest rates and margins among the different countries. This paper analyses the evolution of the convergence in interest rates and the level of competition and its inequalities among the European banking systems for the period 1993 to 2001. The inequality index used -the Theil index-allows us to break down the inequalities so that the importance of either a country effect or a specialization effect is quantified. If the former effect dominates it would mean that the national banking markets are segmented as a consequence of the existence of obstacles or barriers to the integration. On the other hand, the dominance of the latter effect would be related to the different level of competition depending on the type of banking specialization.