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Has Financial Market Integration Increased during the Nineties?

Author

Listed:
  • Juan Ayuso
  • Roberto Blanco

Abstract

This paper analyses whether there has been an increase in the degree of financial market integration during the nineties. To do this, we focus on stock markets and compute, first, a number of standard measures of co-movements that sometimes are interpreted as measures of financial integration. In the second part of the paper we compute two alternative measures of market integration based on a refinement of the approach suggested by Chen and Knez (1995).

Suggested Citation

  • Juan Ayuso & Roberto Blanco, 1999. "Has Financial Market Integration Increased during the Nineties?," Working Papers 9923, Banco de España.
    • Handle: RePEc:bde:wpaper:9923
    as

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    File URL: https://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/99/Fic/dt9923e.pdf
    File Function: First version, 1999
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    References listed on IDEAS

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    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Guglielmo Maria Caporale & Burcu Erdogan & Vladimir Kuzin, 2009. "Testing for Convergence in Stock Markets: A Non-linear Factor Approach," Discussion Papers of DIW Berlin 932, DIW Berlin, German Institute for Economic Research.
    2. Evans, Martin D.D. & Hnatkovska, Viktoria V., 2014. "International capital flows, returns and world financial integration," Journal of International Economics, Elsevier, vol. 92(1), pages 14-33.
    3. Vladimir Borgy & Valérie Mignon, 2009. "Taux d’intérêt et marchés boursiers : une analyse empirique de l’intégration financière internationale," Économie et Prévision, Programme National Persée, vol. 187(1), pages 105-121.
    4. Guglielmo Caporale & Burcu Erdogan & Vladimir Kuzin, 2015. "Testing stock market convergence: a non-linear factor approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(3), pages 481-498, August.
    5. Herrmann, Sabine & Jochem, Axel, 2003. "Die internationale Integration der Geldmärkte in den mittel- und osteuropäischen Beitrittsländern: Abweichungen von der gedeckten Zinsparität, Kapitalverkehrskontrollen und Ineffizienzen des Finanzsek," Discussion Paper Series 1: Economic Studies 2003,07, Deutsche Bundesbank.
    6. Chaipat Poonpatpibul & Vasuveerapat Ramdecha & Krittinan Wiengwangchai & Pawinee Jitmongkolsa-mer, 2008. "Border of Monetary Policy in the New Financial State," Working Papers 2008-01, Monetary Policy Group, Bank of Thailand.
    7. Yarovaya, Larisa & Brzeszczyński, Janusz & Goodell, John W. & Lucey, Brian & Lau, Chi Keung Marco, 2022. "Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    8. Kearney, Colm & Lucey, Brian M., 2004. "International equity market integration: Theory, evidence and implications," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 571-583.
    9. Surbhi Jain & N.R. Bhanumurthy, 2005. "Financial markets integration in India," Asia-Pacific Development Journal, United Nations Economic and Social Commission for Asia and the Pacific (ESCAP), vol. 12(2), pages 15-32, December.
    10. Burcu Erdogan, 2009. "How Does European Integration Affect the European Stock Markets?," Working Paper / FINESS 1.1a, DIW Berlin, German Institute for Economic Research.
    11. Jochem, Axel & Herrmann, Sabine, 2003. "The international integration of money markets in the central and east European accession countries: deviations from covered interest parity, capital controls and inefficiencies in the financial secto," Discussion Paper Series 1: Economic Studies 2003,07, Deutsche Bundesbank.

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    More about this item

    Keywords

    FINANCIAL MARKET ; ECONOMIC INTEGRATION;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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