What Drives Stock Exchange Integration?
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.
Volume (Year): 6 (2013)
Issue (Month): 2 (September)
|Contact details of provider:|| Web page: http://ijbesar.teiemt.gr/|
More information through EDIRC
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.:
- 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.
- Marco Pagano & Otto Randl & Ailsa A. Röell & Josef Zechner, 2000. "What Makes Stock Exchanges Succeed? Evidence from Cross-Listing Decisions," CSEF Working Papers 50, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Pagano, Marco & Randl, Otto & Röell, Ailsa A & Zechner, Josef, 2001. "What Makes Stock Exchanges Succeed? Evidence from Cross-Listing Decisions," CEPR Discussion Papers 2683, C.E.P.R. Discussion Papers.
- 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.
- Edison, Hali J. & Levine, Ross & Ricci, Luca & Slok, Torsten, 2002. "International financial integration and economic growth," Journal of International Money and Finance, Elsevier, vol. 21(6), pages 749-776, November.
- Torsten Sloek & Hali J. Edison & Luca Antonio Ricci & Ross Levine, 2002. "International Financial Integration and Economic Growth," IMF Working Papers 02/145, International Monetary Fund.
- 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.
- Khaled Guesmi, 2011.
"What Drives the Regional Integration of Emerging Stock Markets?,"
AccessEcon, vol. 31(3), pages 2603-2619.
- Khaled GUESMI, 2011. "What drive the regional integration of emerging stock markets?," Economics Bulletin, AccessEcon, vol. 31(2), pages A23.
- Roger Lagunoff & Stacey L. Schreft, 1998.
"A model of financial fragility,"
Research Working Paper
98-01, Federal Reserve Bank of Kansas City.
- 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).
- 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.
- 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.
- Varadi, Vijay Kumar & Boppana, Nagarjuna, 2009. "Are stock exchanges integrated in the world? - A critical Analysis," MPRA Paper 15902, University Library of Munich, Germany.
- repec:ebl:ecbull:v:30:y:2010:i:1:p:274-281 is not listed on IDEAS
- Hasan, Iftekhar & Schmiedel, Heiko, 2004. "Networks and equity market integration: European evidence," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 601-619.
- Christiansen, Charlotte & Ranaldo, Angelo, 2009.
"Extreme coexceedances in new EU member states' stock markets,"
Journal of Banking & Finance,
Elsevier, vol. 33(6), pages 1048-1057, June.
- Charlotte Christiansen & Angelo Ranaldo, 2007. "Extreme Coexceedances in New EU Member States’ Stock Markets," CREATES Research Papers 2007-34, Department of Economics and Business Economics, Aarhus University.
- Charlotte Christiansen & Angelo Ranaldo, 2008. "Extreme Coexceedances in New EU Member States' Stock Markets," Working Papers 2008-10, Swiss National Bank.
- 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.
- 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.
- Arribas, Iván & Pérez, Francisco & Tortosa-Ausina, Emili, 2006.
"Measuring International Economic Integration: Theory and Evidence of Globalization,"
16010, University Library of Munich, Germany, revised 2006.
- Arribas Fernández Iván & Pérez García Francisco & Tortosa-Ausina Emili, 2007. "Measuring International Economic Integration: Theory and Evidence of Globalization," Working Papers 201094, Fundacion BBVA / BBVA Foundation.
- João A. Bastos & Jorge Caiado, 2014.
"Clustering financial time series with variance ratio statistics,"
Taylor & Francis Journals, vol. 14(12), pages 2121-2133, December.
- Joao A. Bastos & Jorge Caiado, 2009. "Clustering financial time series with variance ratio statistics," CEMAPRE Working Papers 0904, Centre for Applied Mathematics and Economics (CEMAPRE), School of Economics and Management (ISEG), Technical University of Lisbon.
- 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.
- Reena Aggarwal, 2002. "Demutualization And Corporate Governance Of Stock Exchanges," Journal of Applied Corporate Finance, Morgan Stanley, vol. 15(1), pages 105-113.
- 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.
- 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.
- 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.
- Luigi Guiso & Paola Sapienza & Luigi Zingales, 2007.
"Cultural Biases in Economic Exchange?,"
Economics Working Papers
ECO2007/42, European University Institute.
- Luigi Guiso & Paola Sapienza & Luigi Zingales, 2005. "Cultural Biases in Economic Exchange," 2005 Meeting Papers 234, Society for Economic Dynamics.
- Luigi Guiso & Paola Sapienza & Luigi Zingales, 2004. "Cultural Biases in Economic Exchange," NBER Working Papers 11005, National Bureau of Economic Research, Inc.
- Guiso, Luigi & Sapienza, Paola & Zingales, Luigi, 2005. "Cultural Biases in Economic Exchange," CEPR Discussion Papers 4837, C.E.P.R. Discussion Papers.
- Shy, Oz & Tarkka, Juha, 2001. "Stock exchange alliances, access fees and competition," Research Discussion Papers 22/2001, Bank of Finland.
- Lastra, Rosa Maria, 2006. "Legal Foundations of International Monetary Stability," OUP Catalogue, Oxford University Press, number 9780199269341, May.
- 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.
- 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).
- Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
- 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.
- 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.
- 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.
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 references are entirely missing, you can add them using this form.