IDEAS home Printed from
MyIDEAS: Login to save this article or follow this journal

What Drives Stock Exchange Integration?

  • Ekaterina Dorodnykh


    (University of Rome Tor Vergata, Department of Economics and Finance (DEF), via Columbia, 2, 00133, Rome Italy)

Registered author(s):

    This paper contains an empirical analysis of determinants of international integration projects over the time period 1995-2010. After a broad discussion of the existent literature, the investigation combines a large number of potentially relevant determinants for the explanation of whether stock exchanges are participating in formal integration projects. Using the weekly data of stock market returns, correlation and cluster analysis investigate a measure of integration among stock markets. Johansen cointegration test estimates the presence of multilateral long run equilibrium relationship among integrated stock exchanges. Finally, multivariable logit regression with three-year lagged dependent variable is applied and interpreted. A number of significant variables are identified as determining the existence of de jure stock market integration projects.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    Download Restriction: no

    File URL:
    Download Restriction: no

    Article provided by Eastern Macedonia and Thrace Institute of Technology (EMATTECH), Kavala, Greece in its journal International Journal of Economic Sciences and Applied Research (IJESAR).

    Volume (Year): 6 (2013)
    Issue (Month): 2 (September)
    Pages: 47-79

    in new window

    Handle: RePEc:tei:journl:v:6:y:2013:i:2:p:47-79
    Contact details of provider: Web page:

    More information through EDIRC

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

    as in new window
    1. Khaled GUESMI, 2011. "What drive the regional integration of emerging stock markets?," Economics Bulletin, AccessEcon, vol. 31(2), pages A23.
    2. Roger Lagunoff & Stacey L. Schreft, 1998. "A Model of Financial Fragility," Game Theory and Information 9803001, EconWPA, revised 30 Apr 1998.
    3. Hali J. Edison & Ross Levine & Luca Ricci & Torsten Slok, 2002. "International Financial Integration and Economic Growth," NBER Working Papers 9164, National Bureau of Economic Research, Inc.
    4. Varadi, Vijay Kumar & Boppana, Nagarjuna, 2009. "Are stock exchanges integrated in the world? - A critical Analysis," MPRA Paper 15902, University Library of Munich, Germany.
    5. Guiso, Luigi & Sapienza, Paola & Zingales, Luigi, 2005. "Cultural Biases in Economic Exchange," CEPR Discussion Papers 4837, C.E.P.R. Discussion Papers.
    6. Christos Grose, 2011. "The Determinants of Cash Flows in Greek Bond Mutual Funds," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Eastern Macedonia and Thrace Institute of Technology (EMATTECH), Kavala, Greece, vol. 4(1), pages 55-77, March.
    7. Nikolaos Sariannidis & Ioannis Koskosas & Nikos Kartalis & George Konteos, 2009. "Macroeconomic effects on D.J.S.I.-World Returns," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Eastern Macedonia and Thrace Institute of Technology (EMATTECH), Kavala, Greece, vol. 2(2), pages 95-110, December.
    8. Mendes, Beatriz V.M. & Leal, Ricardo P.C. & Carvalhal-da-Silva, Andre, 2007. "Clustering in emerging equity markets," Emerging Markets Review, Elsevier, vol. 8(3), pages 194-205, September.
    9. Schindler, Felix & Voronkova, Svitlana, 2010. "Linkages between international securitized real estate markets: Further evidence from time-varying and stochastic cointegration," ZEW Discussion Papers 10-051, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
    10. Kim, Suk Joong & Moshirian, Fariborz & Wu, Eliza, 2005. "Dynamic stock market integration driven by the European Monetary Union: An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2475-2502, October.
    11. Arribas, Iván & Pérez, Francisco & Tortosa-Ausina, Emili, 2006. "Measuring International Economic Integration: Theory and Evidence of Globalization," MPRA Paper 16010, University Library of Munich, Germany, revised 2006.
    12. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
    13. Siow-hooi Tan & Muzafar-shah Habibullah & Roy-wye-leong Khong, 2010. "Non-linear unit root properties of stock prices: Evidence from India, Pakistan and Sri Lanka," Economics Bulletin, AccessEcon, vol. 30(1), pages 274-281.
    14. de Carvalho, Cynthia Hirata, 2004. "Cross-Border Securities Clearing and Settlement Infrastructure in the European Union as a Prerequisite to Financial Markets Integration : Challenges and Perspectives," HWWA Discussion Papers 287, Hamburg Institute of International Economics (HWWA).
    15. David Büttner & Bernd Hayo, 2009. "Determinants of European Stock Market Integration," MAGKS Papers on Economics 200932, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    16. Jo�o A. Bastos & Jorge Caiado, 2014. "Clustering financial time series with variance ratio statistics," Quantitative Finance, Taylor & Francis Journals, vol. 14(12), pages 2121-2133, December.
    17. Heaney, Richard & Hooper, Vince, 2001. "Regionalism, Political Risk and Capital Market Segmentation in International Asset Pricing," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 16, pages 299-312.
    18. Charlotte Christiansen & Angelo Ranaldo, 2008. "Extreme Coexceedances in New EU Member States' Stock Markets," Working Papers 2008-10, Swiss National Bank.
    19. Pagano, Marco & Randl, Otto & Roell, Ailsa A. & Zechner, Josef, 2001. "What makes stock exchanges succeed? Evidence from cross-listing decisions," European Economic Review, Elsevier, vol. 45(4-6), pages 770-782, May.
    20. repec:ebl:ecbull:v:30:y:2010:i:1:p:274-281 is not listed on IDEAS
    21. Nikolaos Sariannidis, 2010. "The Impact of Stock, Energy and Foreign Exchange Markets on the Sugar Market," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Eastern Macedonia and Thrace Institute of Technology (EMATTECH), Kavala, Greece, vol. 3(1), pages 109-117, July.
    22. Lastra, Rosa Maria, 2006. "Legal Foundations of International Monetary Stability," OUP Catalogue, Oxford University Press, number 9780199269341.
    23. Reena Aggarwal, 2002. "Demutualization And Corporate Governance Of Stock Exchanges," Journal of Applied Corporate Finance, Morgan Stanley, vol. 15(1), pages 105-113.
    24. Longin, Francois & Solnik, Bruno, 1995. "Is the correlation in international equity returns constant: 1960-1990?," Journal of International Money and Finance, Elsevier, vol. 14(1), pages 3-26, February.
    25. Reena Aggarwal & Sandeep Dahiya, 2006. "Demutualization and Public Offerings of Financial Exchanges," Journal of Applied Corporate Finance, Morgan Stanley, vol. 18(3), pages 96-106.
    26. Panchenko, Valentyn & Wu, Eliza, 2009. "Time-varying market integration and stock and bond return concordance in emerging markets," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1014-1021, June.
    27. Kim, Suk-Joong & Moshirian, Fariborz & Wu, Eliza, 2006. "Evolution of international stock and bond market integration: Influence of the European Monetary Union," Journal of Banking & Finance, Elsevier, vol. 30(5), pages 1507-1534, May.
    28. Brian Lucey & Raj Aggarwal, 2010. "Dynamics of Equity Market Integration in Europe: Impact of Political Economy Events," Journal of Common Market Studies, Wiley Blackwell, vol. 48, pages 641-660, 06.
    29. Hasan, Iftekhar & Schmiedel, Heiko, 2004. "Networks and equity market integration: European evidence," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 601-619.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:tei:journl:v:6:y:2013:i:2:p:47-79. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Kostas Stergidis)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.