Financial integration of stock markets among new EU member states and the Euro area
Babecký, Jan, Komárek, Luboš and Komárková, Zlatuše (2008) Financial integration of stock markets among new EU member states and the Euro area. Working Paper. Coventry: University of Warwick, Department of Economics. Warwick economic research papers (No.849).
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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.
|Item Type:||Working or Discussion Paper (Working Paper)|
|Subjects:||H Social Sciences > HG Finance|
|Divisions:||Faculty of Social Sciences > Economics|
|Library of Congress Subject Headings (LCSH):||Stock exchanges -- Europe, Eastern, Convergence (Economics) -- Europe, European Union countries -- Economic policy, European Union countries -- Economic conditions|
|Series Name:||Warwick economic research papers|
|Publisher:||University of Warwick, Department of Economics|
|Place of Publication:||Coventry|
|Number of Pages:||28|
|Status:||Not Peer Reviewed|
|Access rights to Published version:||Open Access|
|Funder:||Česká národní banka [Czech National Bank] (CNB)|
|Grant number:||C1/2007 (CNB)|
ADAM, K., T. JAPELLI, A. MENICHINI, M. PADULA, AND M. PAGANO (2002): “Analyse, Compare, and Apply Alternative Indicators and Monitoring Methodologies to Measure the Evolution of Capital Market Integration in the European Union”. European Commission, pp. 1–95.
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