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

• Autorzy: Elżbieta Majewska , Joanna Olbryś

Warianty tytułu

Ewolucja procesu integracji wybranych europejskich rynków kapitałowych : zastosowanie dynamicznej analizy głównych składowych

• Języki publikacji: EN

Abstrakty

EN

The 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. (original abstract)

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. (abstrakt oryginalny)

Słowa kluczowe

EN

Capital market; Capital market analysis

PL

Rynek kapitałowy; Analiza rynków kapitałowych

• Czasopismo: Comparative Economic Research
• Rocznik: 2017
• Tom: 20
• Numer: nr 4
• Strony: 45--63

Twórcy

autor

Elżbieta Majewska

• Bialystok University, Poland

autor

Joanna Olbryś

• Bialystok University of Technology, Poland

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Identyfikatory

DOI

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