The Evolution of Financial Integration on Selected European Stock Markets: a Dynamic Principal Component Approach
| Autor: | Joanna Olbryś, Elżbieta Majewska |
|---|---|
| Rok vydání: | 2017 |
| Předmět: |
Czech
Accession dynamic principal component analysis 0502 economics and business ddc:330 Economics media_common.cataloged_instance Economic geography 050207 economics European union global financial crisis HB71-74 C10 Stock (geology) media_common 050208 finance index of integration F36 european stock markets G15 Global Financial Crisis 05 social sciences O52 Financial integration General Medicine O57 language.human_language Eastern european Economics as a science Financial crisis language F65 G01 Capital market |
| Zdroj: | Comparative Economic Research, Vol 20, Iss 4, Pp 45-63 (2017) |
| ISSN: | 2082-6737 1508-2008 |
| DOI: | 10.1515/cer-2017-0027 |
| Popis: | The goal of this paper is to recognize the dynamics of financial integration across the European stock markets over the last two decades. We investigate two groups of markets: (1) three developed European markets in the U.K., France, and Germany; and (2) three emerging Central and Eastern European markets in Poland, the Czech Republic, and Hungary (CEE–3). The evolution of the integration process is analyzed using a dynamic principal component approach. The index of integration serves as a robust measure of integration. The empirical results reveal that the dynamics of integration across the whole group of markets increased significantly following the CEEC–3’s accession to the European Union. An inverted U‑shape in the index of integration has been found in this case. Moreover, the average index of integration was significantly different during the Global Financial Crisis compared to the pre‑crisis period. |
| Databáze: | OpenAIRE |
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