Show simple item record

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

dc.contributor.authorMajewska, Elżbietaen
dc.contributor.authorOlbryś, Joannaen
dc.date.accessioned2018-03-05T12:15:07Z
dc.date.available2018-03-05T12:15:07Z
dc.date.issued2017-12-29en
dc.identifier.issn1508-2008en
dc.identifier.urihttp://hdl.handle.net/11089/24203
dc.description.abstractThe goal of this paper is to recognize the dynamics of financial integration across the European stock markets over the last two decades. We investigate two groups of markets: (1) three developed European markets in the U.K., France, and Germany; and (2) three emerging Central and Eastern European markets in Poland, the Czech Republic, and Hungary (CEE-3). The evolution of the integration process is analyzed using a dynamic principal component approach. The index of integration serves as a robust measure of integration. The empirical results reveal that the dynamics of integration across the whole group of markets increased significantly following the CEEC-3’s accession to the European Union. An inverted U‑shape in the index of integration has been found in this case. Moreover, the average index of integration was significantly different during the Global Financial Crisis compared to the pre‑crisis period.en
dc.publisherWydawnictwo Uniwersytetu Łódzkiegoen
dc.relation.ispartofseriesComparative Economic Research;20en
dc.rightsThis work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.en
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0en
dc.subjecteuropean stock marketsen
dc.subjectdynamic principal component analysisen
dc.subjectindex of integrationen
dc.subjectGlobal Financial Crisisen
dc.titleThe Evolution of Financial Integration on Selected European Stock Markets: a Dynamic Principal Component Approachen
dc.page.number45-63en
dc.contributor.authorAffiliationMajewska, Elżbieta - Ph.D., Assistant Professor, University of Bialystok, Faculty of Mathematics and Informatics, Institute of Mathematics, Bialystok, Polanden
dc.contributor.authorAffiliationOlbryś, Joanna - Ph.D., Associate Professor, Bialystok University of Technology, Faculty of Computer Science, Department of Theoretical Computer Science, Bialystok, Polanden
dc.referencesBeine M., Cosma A., Vermeulen R. (2010), The Dark Side of Global Integration: Increasing Tail Dependence, ‘Journal of Banking & Finance’, 34.en
dc.referencesBekaert G., Harvey C.R. (1995), Time‑Varying World Market Integration, ‘Journal of Finance’, 1(2).en
dc.referencesBekaert G., Harvey C.R., Lumsdaine R.L. (2002), Dating the Integration of World Equity Markets, ‘Journal of Financial Economics’, 65. doi: 10.1016/S0304-405X(02)00139-3en
dc.referencesBekaert G., Harvey C.R., Ng A. (2005), Market Integration and Contagion, ‘Journal of Business’, 78(1).en
dc.referencesBordo M.D., Murshid A.P. (2006), Globalization and Changing Patterns in the International Transmissionen
dc.referencesof Shocks in Financial Markets, ‘Journal of International Money and Finance’, 25.en
dc.referencesBrière M., Chapelle A., Szafarz A. (2012), No Contagion, Only Globalization and Flight to Quality, ‘Journal of International Money and Finance’, 31(6). doi: 10.1016/j.jimonfin.2012.03.010 ThomsonISI: http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000306246600021&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=b7bc2757938ac7a7a821505f8243d9f3en
dc.referencesBüttner D., Hayo B. (2011), Determinants of European Stock Market Integration, ‘Economic Systems’, 35.en
dc.referencesCarrieri F., Errunza V., Hogan K. (2007), Characterizing World Market Integration through Time, ‘Journal of Financial and Quantitative Analysis’, 42(4).en
dc.referencesChambet A., Gibson R. (2008), Financial Integration, Economic Instability and Trade Structure in Emerging Markets, ‘Journal of International Money and Finance’, 27.en
dc.referencesChesnay F., Jondeau E. (2001), Does Correlation Between Stock Returns Really Increase During Turbulent Periods?, ‘Economic Notes’, 30(1). doi: 10.1111/1468-0300.00047en
dc.referencesde Jong F., de Roon F.A. (2005), Time‑Varying Market Integration and Expected Returns in Emerging Markets, ‘Journal of Financial Economics’, 78.en
dc.referencesDickey D.A., Fuller W.A. (1981), Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root, ‘Econometrica’, 49(4).en
dc.referencesDonadelli 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.en
dc.referencesDoornik J.A., Hansen H. (2008), An Omnibus Test for Univariate and Multivariate Normality, ‘Oxford Bulletin of Economics and Statistics’, 70, Supplement 1.en
dc.referencesForbes K.J., Rigobon R. (2002), No Contagion, Only Interdependence: Measuring Stock Market Comovements, ‘Journal of Finance’, 57(5).en
dc.referencesGagnon J.E., Unferth M.D. (1995), Is There a World Interest Rate?, ‘Journal of International Money and Finance’, 14. doi: 10.1016/0261-5606(95)00028-3en
dc.referencesGilmore 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. doi: 10.1016/j.qref.2006.06.005en
dc.referencesGoetzmann W.N., Li L., Rouwenhorst K.G. (2005), Long-Term Global Market Correlations, ‘Journal of Business’, 78(1). doi: 10.1086/426518en
dc.referencesGood P. (2005), Permutation, Parametric, and Bootstrap Tests of Hypotheses, Springer Series in Statistics, Third Edition, New York, Springer.en
dc.referencesHardouvelis G.A., Malliaropulos D., Priestley R. (2006), EMU and European Stock Market Integration, ‘Journal of Business’, 79(1).en
dc.referencesHarkmann K. (2014), Stock Market Contagion from Western Europe to Central and Eastern Europe During the Crisis Years 2008-2012, ‘Eastern European Economics’, 52(3). doi: 10.2753/EEE0012-8775520303 ThomsonISI: http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000346506000004&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=b7bc2757938ac7a7a821505f8243d9f3en
dc.referencesJennrich R.I. (1970), An Asymptotic Chi‑square Test for the Equality of Two Correlation Matrices, ‘Journal of the American Statistical Association’, 65(330).en
dc.referencesJolliffe I .T. (2002), Principal Component Analysis, Springer Series in Statistics, Second Edition, New York, Springer.en
dc.referencesLarntz K., Perlman M.D. (1985), A Simple Test for the Equality of Correlation Matrices, Technical Report No. 63, Department of Statistics, University of Washington.en
dc.referencesLjung G., Box G.E.P. (1978), On a Measure of Lack of Fit in Time Series Models, ‘Biometrika’, 65(2). doi: 10.1093/biomet/65.2.297en
dc.referencesLongin F., Solnik B. (1995), Is the Correlation in International Equity Returns Constant: 1960-1990?, ‘Journal of International Money and Finance’, 14 (1). doi: 10.1016/0261-5606(94)00001-Hen
dc.referencesLongin F., Solnik B. (2001), Extreme Correlation of International Equity Markets, ‘Journal of Finance’, 56(2). doi: 10.1111/0022-1082.00340en
dc.referencesMauro P., Sussman N., Yafeh, Y. (2002), Emerging Market Spreads: Then Versus Now, ‘Quarterly Journal of Economics’, 117.en
dc.referencesNellis J.G. (1982), A Principal Components Analysis of International Financial Integration Under Fixed and Floating Exchange Rate Regimes, ‘Applied Economics’, 14. doi: 10.1080/00036848200000026en
dc.referencesObstfeld 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.en
dc.referencesOlbryś J., Majewska E. (2014), Quantitative Identification of Crisis Periods on the Major European Stock Markets, ‘Pensee Journal’, 76(1).en
dc.referencesOlbryś J., Majewska E. (2015a), Bear Market Periods during the 2007-2009 Financial Crisis: Direct Evidence from the Visegrad Countries, ‘Acta Oeconomica’, 65(4). ThomsonISI: http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000368086400003&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=b7bc2757938ac7a7a821505f8243d9f3en
dc.referencesOlbryś 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).en
dc.referencesPagan A.R., Sossounov K.A. (2003), A Simple Framework for Analysing Bull and Bear Markets, ‘Journal of Applied Econometrics’, 18(1).en
dc.referencesPisani‑Ferry J., Sapir A. (2010), Banking Crisis Management in the EU: An Early Assessment, ‘Economic Policy’, 62. doi: 10.1111/j.1468-0327.2010.00243.xen
dc.referencesPukthuanthong K., Roll R. (2009), Global Market Integration: An Alternative Measure and its Application, ‘Journal of Financial Economics’, 94. doi: 10.1016/j.jfineco.2008.12.004en
dc.referencesSensoy A., Ozturk K., Hacihasanoglu E. (2014), Constructing a Financial Fragility Index for Emerging Countries, ‘Finance Research Letters’, 11. doi: 10.1016/j.frl.2014.07.007 ThomsonISI: http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000346392200011&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=b7bc2757938ac7a7a821505f8243d9f3en
dc.referencesTsay R.S. (2010), Analysis of Financial Time Series, New York, John Wiley.en
dc.referencesVolosovych V. (2011), Measuring Financial Market Integration over the Long Run: Is There a U‑shape?, ‘Journal of International Money and Finance’, 30. doi: 10.1016/j.jimonfin.2011.07.011en
dc.referencesVolosovych V. (2013), Learning about Financial Market Integration from Principal Components Analysis, ‘CESifo Economic Studies’, 59(2).en
dc.contributor.authorEmailMajewska, Elżbieta - e.majewska@uwb.edu.plen
dc.contributor.authorEmailOlbryś, Joanna - j.olbrys@pb.edu.plen
dc.identifier.doi10.1515/cer-2017-0027en


Files in this item

Thumbnail
Name:
cer-2017-0027.pdf
Size:
532.4Kb
Format:
PDF
View/Open

This item appears in the following Collection(s)

Show simple item record

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.
Except where otherwise noted, this item's license is described as This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.