The Evolution of Financial Integration on Selected European Stock Markets: a Dynamic Principal Component Approach

Elżbieta Majewska; Joanna Olbryś

doi:10.1515/cer-2017-0027

Autor

Elżbieta Majewska University of Bialystok, Faculty of Mathematics and Informatics, Institute of Mathematics, Bialystok
Joanna Olbryś Bialystok University of Technology, Faculty of Computer Science, Department of Theoretical Computer Science, Bialystok

DOI:

https://doi.org/10.1515/cer-2017-0027

Słowa kluczowe:

europejskie rynki kapitałowe, dynamiczna analiza głównych składowych, indeks integracji, Globalny Kryzys Finansowy

Abstrakt

Celem pracy było badanie zmian poziomu integracji wybranych europejskich rynków kapitałowych na przestrzeni ostatnich dwudziestu lat. Analizie poddano dwie grupy rynków: (1) trzy rynki rozwinięte Wielkiej Brytanii, Francji i Niemiec, oraz (2) trzy rynki rozwijające się Europy Środkowo‑Wschodniej w Polsce, Czechach i na Węgrzech. Ewolucja procesu integracji rynków została zbadana z wykorzystaniem dynamicznej analizy głównych składowych. Jako odporną miarę integracji zastosowano indeks integracji. Wyniki empiryczne potwierdziły, że poziom integracji wzrósł w sposób istotny po wejściu Polski, Czech i Węgier do Unii Europejskiej w 2004 r. Zaobserwowano wyraźny efekt odwróconego U na wykresie indeksu integracji w przypadku całej grupy badanych rynków. Ponadto stwierdzono, że średnia wartość indeksu integracji była istotnie wyższa w okresie Globalnego Kryzysu Finansowego w porównaniu z okresem przed kryzysem.

Pobrania

Brak dostępnych danych do wyświetlenia.

Bibliografia

Beine M., Cosma A., Vermeulen R. (2010), The Dark Side of Global Integration: Increasing Tail Dependence, ‘Journal of Banking & Finance’, 34.
Google Scholar

Bekaert G., Harvey C.R. (1995), Time‑Varying World Market Integration, ‘Journal of Finance’, 1(2). Bekaert G., Harvey C.R., Lumsdaine R.L. (2002), Dating the Integration of World Equity Markets, ‘Journal of Financial Economics’, 65.
Google Scholar

Bekaert G., Harvey C.R., Ng A. (2005), Market Integration and Contagion, ‘Journal of Business’, 78(1).
Google Scholar

Bordo M.D., Murshid A.P. (2006), Globalization and Changing Patterns in the International Transmission of Shocks in Financial Markets, ‘Journal of International Money and Finance’, 25.
Google Scholar

Brière M., Chapelle A., Szafarz A. (2012), No Contagion, Only Globalization and Flight to Quality, ‘Journal of International Money and Finance’, 31(6).
Google Scholar

Büttner D., Hayo B. (2011), Determinants of European Stock Market Integration, ‘Economic Systems’, 35.
Google Scholar

Carrieri F., Errunza V., Hogan K. (2007), Characterizing World Market Integration through Time, ‘Journal of Financial and Quantitative Analysis’, 42(4).
Google Scholar

Chambet A., Gibson R. (2008), Financial Integration, Economic Instability and Trade Structure in Emerging Markets, ‘Journal of International Money and Finance’, 27.
Google Scholar

Chesnay F., Jondeau E. (2001), Does Correlation Between Stock Returns Really Increase During Turbulent Periods?, ‘Economic Notes’, 30(1).
Google Scholar

de Jong F., de Roon F.A. (2005), Time‑Varying Market Integration and Expected Returns in Emerging Markets, ‘Journal of Financial Economics’, 78.
Google Scholar

Dickey D.A., Fuller W.A. (1981), Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root, ‘Econometrica’, 49(4).
Google Scholar

Donadelli M., Paradiso A. (2014), Is there Heterogeneity in Financial Integration Dynamics? Evidence from Country and Industry Emerging Market Equity Indexes, ‘Journal of International Financial Markets, Institutions & Money’, 32.
Google Scholar

Doornik J.A., Hansen H. (2008), An Omnibus Test for Univariate and Multivariate Normality, ‘Oxford Bulletin of Economics and Statistics’, 70, Supplement 1.
Google Scholar

Forbes K.J., Rigobon R. (2002), No Contagion, Only Interdependence: Measuring Stock Market Comovements, ‘Journal of Finance’, 57(5).
Google Scholar

Gagnon J.E., Unferth M.D. (1995), Is There a World Interest Rate?, ‘Journal of International Money and Finance’, 14.
Google Scholar

Gilmore C.G., Lucey B.M., McManus G.M. (2008), The Dynamics of Central European Equity Market Comovements, ‘The Quarterly Review of Economics and Finance’, 48.
Google Scholar

Goetzmann W.N., Li L., Rouwenhorst K.G. (2005), Long–Term Global Market Correlations, ‘Journal of Business’, 78(1).
Google Scholar

Good P. (2005), Permutation, Parametric, and Bootstrap Tests of Hypotheses, Springer Series in Statistics, Third Edition, New York, Springer.
Google Scholar

Hardouvelis G.A., Malliaropulos D., Priestley R. (2006), EMU and European Stock Market Integration, ‘Journal of Business’, 79(1).
Google Scholar

Harkmann K. (2014), Stock Market Contagion from Western Europe to Central and Eastern Europe During the Crisis Years 2008–2012, ‘Eastern European Economics’, 52(3).
Google Scholar

Jennrich R.I. (1970), An Asymptotic Chi‑square Test for the Equality of Two Correlation Matrices, ‘Journal of the American Statistical Association’, 65(330).
Google Scholar

Jolliffe I .T. (2002), Principal Component Analysis, Springer Series in Statistics, Second Edition, New York, Springer.
Google Scholar

Larntz K., Perlman M.D. (1985), A Simple Test for the Equality of Correlation Matrices, Technical Report No. 63, Department of Statistics, University of Washington.
Google Scholar

Ljung G., Box G.E.P. (1978), On a Measure of Lack of Fit in Time Series Models, ‘Biometrika’, 65(2).
Google Scholar

Longin F., Solnik B. (1995), Is the Correlation in International Equity Returns Constant: 1960– 1990?, ‘Journal of International Money and Finance’, 14 (1).
Google Scholar

Longin F., Solnik B. (2001), Extreme Correlation of International Equity Markets, ‘Journal of Finance’, 56(2).
Google Scholar

Mauro P., Sussman N., Yafe , Y. (2002), Emerging Market Spreads: Then Versus Now, ‘Quarterly Journal of Economics’, 117.
Google Scholar

Nellis J.G. (1982), A Principal Components Analysis of International Financial Integration Under Fixed and Floating Exchange Rate Regimes, ‘Applied Economics’, 14.
Google Scholar

Obstfeld M., Taylor A.T. (2003), Globalization and Capital Markets, [in:] Bordo M., Taylor A.T., Williamson J.G. (ed.), Globalization in Historical Perspective, Chicago, University of Chicago Press.
Google Scholar

Olbryś J., Majewska E. (2014), Quantitative Identification of Crisis Periods on the Major European Stock Markets, ‘Pensee Journal’, 76(1).
Google Scholar

Olbryś J., Majewska E. (2015a), Bear Market Periods during the 2007–2009 Financial Crisis: Direct Evidence from the Visegrad Countries, ‘Acta Oeconomica’, 65(4).
Google Scholar

Olbryś J., Majewska E. (2015b), Testing Integration Effects Between the CEE and U.S. Stock Markets During the 2007–2009 Global Financial Crisis, ‘Folia Oeconomica Stetinensia’, 15(1).
Google Scholar

Pagan A.R., Sossounov K.A. (2003), A Simple Framework for Analysing Bull and Bear Markets, ‘Journal of Applied Econometrics’, 18(1).
Google Scholar

Pisani-Ferry J., Sapir A. (2010), Banking Crisis Management in the EU: An Early Assessment, ‘Economic Policy’, 62.
Google Scholar

Pukthuanthong K., Roll R. (2009), Global Market Integration: An Alternative Measure and its Application, ‘Journal of Financial Economics’, 94.
Google Scholar

Sensoy A., Ozturk K., Hacihasanoglu E. (2014), Constructing a Financial Fragility Index for Emerging Countries, ‘Finance Research Letters’, 11.
Google Scholar

Tsay R.S. (2010), Analysis of Financial Time Series, New York, John Wiley.
Google Scholar

Volosovych V. (2011), Measuring Financial Market Integration over the Long Run: Is There a U‑shape?, ‘Journal of International Money and Finance’, 30.
Google Scholar

Volosovych V. (2013), Learning about Financial Market Integration from Principal Components
Google Scholar

Analysis, ‘CESifo Economic Studies’, 59(2).
Google Scholar