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Integration of Smaller European Equity Markets

Author : Brian M. Lucey

Publisher :

Page : 30 pages

File Size : 43,74 MB

Release : 2009

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Book Description

The objective of this paper is to study capital market integration in smaller European countries and its implications for an international portfolio investment allocation. A time-varying analysis based on Barari (2004) suggests that the markets have recently started moving towards international financial integration. Results vary from country to country and sample countries can be broken down into distinctive groups according to their recent integration score performance: a) countries which are becoming increasingly integrated with both regional European and international equity markets (Estonia, Hungary, Czech Republic, Lithuania, Poland); and b) countries which have become increasingly integrated with the regional market, while growing segmented with the world market (Latvia, Slovakia, Slovenia). This is an encouraging indicator in that none of the countries have been growing segmented from the European equity markets since the EU accession.



European Equity Markets Integration - Implications for Us Investors

Author : Xuan Vinh Vo

Publisher :

Page : pages

File Size : 26,96 MB

Release : 2008

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The paper examines the question whether the economic convergence brought about by the European Monetary Union resulted in increased correlations across EMU equity market returns, which subsequently lead to a reduction in the benefits for investors in these markets. The study employs data from 1988 to 2003 in which correlation, cointegration and causality estimation techniques are used to describe the behaviour of the seven European equity market returns. The paper focuses on the question of whether a foreign (US) investor can benefit from investing in European equity markets in light of the developments brought about by the European Monetary Union (EMU).



The European Equity Markets

Author : Benn Steil

Publisher : Chatham House (Formerly Riia)

Page : 440 pages

File Size : 28,75 MB

Release : 1996

Category : Capital market

ISBN :

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Book Description

Investigating the barriers to European equity market integration which will remain after 1996, this text examines such areas as equity trading, the single currency, corporate governance, pension funds, capital standards, clearance and settlement, and accounting diversity.



The Origins of Europe's New Stock Markets

Author : Elliot Posner

Publisher : Harvard University Press

Page : 272 pages

File Size : 43,51 MB

Release : 2009-02-15

Category : Business & Economics

ISBN : 9780674031715

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Book Description

Between 1995 and 2007, financial elites in more than a dozen western European countries engaged in a cross-border battle to create some twenty new stock markets, many of which were explicitly modeled on the American Nasdaq. The resulting high-risk, high-reward markets facilitated wealth creation, rewarded venture capitalists, and drew major U.S. financial players to Europe. But they also chipped away at the European social compacts between national governments and citizens, opening the door of smaller company finance to the broad trend of marketization and its bounties, and further subjecting European households and family businesses to the rhythms of global capital. Elliot Posner explores the causes of Europe’s emergence as a global financial power, addressing classic and new questions about the origins of markets and their relationship to politics and bureaucracy. In doing so, he attributes the surprising large-scale transformation of Europe’s capital markets to the rise of the European Union as a global political force. The effect of Europe’s financial ascendance will have major ramifications around the world, and Posner’s analysis will push market participants, policymakers, and academics to rethink the sources of financial change in Europe and beyond.





Stock Market Integration in Europe

Author : Amir N. Licht

Publisher :

Page : pages

File Size : 32,73 MB

Release : 1998

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Book Description

Western Europe today boasts some 35 stock exchanges. It is almost unanimously agreed that this number is too high and that in the future, European stock markets are likely to become fewer in number and more internationalized in their listings, trading, and membership.Europe has also witnessed more exercises in stock market integration compared with any other region in the world. Initiatives toward this end were undertaken by regulators as well as the private sector (stock exchanges and investors). Consequently, Europe may be viewed as a gigantic laboratory in which real-life experiments in stock market integration were held. The fact that most of those efforts had failed or were abandoned first attests to the difficulties in achieving this goal. It may also indicate the conditions which should be more conductive to success. The paper attempts to tell the story of European stock market integration in a way that highlights the difficulties in attaining cooperation and the tools that were used to overcome them.The main theme of this paper is that this integration process can only be understood as an integral part of a broader economic and political integration which EU countries have been pursuing for some 40 years. The European experience shows that considerable compromises are required for bringing about stock market integration. It is the broader framework of the EU, with its institutions, political implications, and momentum, that ensures that stock market integration proceeds on track, even if with occasional halts.



Are European Financial Markets Integrated? An Approximate Factor Model Investigation

Author : Anthony Miloudi

Publisher :

Page : 31 pages

File Size : 30,6 MB

Release : 2008

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Book Description

This paper proposes an alternative to extract European common factors and to measure the level of European equity markets integration. Following Heston, Rouwenhorst and Wessels [1995], we use an approximate factor model (Connor 1984) to perform European integration tests. The key feature of this approach is to work with T, the number of time series observations which is typically far smaller than the number of assets, N. The use of the Jones [2001] procedure allowing for heteroskedasticity in time-series residuals is fundamental because the explanatory power of integration tests strongly depends on the pervasive common factors extraction method. Our findings can be summarised as follows. First, European financial markets have been highly integrated over the last 5 years. Second, being a member of the EMU is not sufficient to be integrated to the European capital markets. Third, we demonstrate that the factor structure of European stock returns has changed in the last few years.







International Integration of Equity Markets and Contagion Effects

Author : Mr.Paul Cashin

Publisher : International Monetary Fund

Page : 58 pages

File Size : 47,48 MB

Release : 1995-11-01

Category : Business & Economics

ISBN : 1451853289

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Book Description

This paper investigates empirically the degree of international integration of industrial and emerging country equity markets. It analyzes two issues: first, the extent to which equity prices have tended to move similarly across countries and regions in the long run; and second, the strength of cross-country “contagion” effects. The paper’s findings suggest that both intra-regional and inter-regional linkages across national equity markets have strengthened in recent years. In addition, using impulse response functions, the paper shows that cross-country contagion effects of country-specific shocks dissipate in a matter of weeks while contagion effects of global shocks take several months to unwind themselves.