Financial Market Integration of the EU pre- and post- global financial crisis
1
조회
0
다운로드
1
인용
0
참고문헌
키워드
초록
Since the establishment of the EU and European single market, there have been successful initiatives and attempts to make the deepened economic integration and the monetary or financial union.The financial crisis of 2008 has, however, severely negative affected financial markets and economic activity in all advanced and global financial markets The global financial markets have been threatened by EU member’sdebt problems and EU member countries have started to rebalance positive macroeconomic signs from the global financial crisis in year 2008. This paper investigates the degree of financial interdependence and transmission process of stock markets among the EU regions using 11 EU stock markets from 2001 to 2011.. Thus, this paper analyses the degree of financial or stock markets interdependences or linkages comparing pre- and post- period of financial crisis in 2008 in the EU regions by dealing with the stock data through 2001~2011 mainly using the VAR and cointegration approach. The empirical results give several implications on the stock market interdependences among 11 EU countries. The degrees of the stock market integration or the financial integration are compared pre- and post- global financial crisis. General trend of the degree of financial or stock markets interdependences or linkages in the EU is similar in both post period of the financial crisis and that of pre-period. Yet the financial impact ofstock markets becomes little lower than before that of the crisis.
Abstract
Since the establishment of the EU and European single market, there have been successful initiatives and attempts to make the deepened economic integration and the monetary or financial union.The financial crisis of 2008 has, however, severely negative affected financial markets and economic activity in all advanced and global financial markets The global financial markets have been threatened by EU member’sdebt problems and EU member countries have started to rebalance positive macroeconomic signs from the global financial crisis in year 2008. This paper investigates the degree of financial interdependence and transmission process of stock markets among the EU regions using 11 EU stock markets from 2001 to 2011.. Thus, this paper analyses the degree of financial or stock markets interdependences or linkages comparing pre- and post- period of financial crisis in 2008 in the EU regions by dealing with the stock data through 2001~2011 mainly using the VAR and cointegration approach. The empirical results give several implications on the stock market interdependences among 11 EU countries. The degrees of the stock market integration or the financial integration are compared pre- and post- global financial crisis. General trend of the degree of financial or stock markets interdependences or linkages in the EU is similar in both post period of the financial crisis and that of pre-period. Yet the financial impact ofstock markets becomes little lower than before that of the crisis.
참고문헌 (26)
- Achsani, N.A., "Dynamic causal links between the Russian stock exchange and selected internationalstock markets In Economic Opening Up and Growth in Russi" (2004), Springer-Verlag
- Achsani, N.A., "Financial and Economic Integration: Experience of the EU and Future Prospects for ASEAN+3 In The EU’s Experience in Integration: A model for ASEAN+3?", pp.227~255 (2007)
- Alexakis, P., "Integration of international capital markets: further evidence from EMS and non-EMS membership", Journal of the International Financial Markets, Institution and Money, pp.277~287 (1997)
- Angresano, J., "European Union integration lessons for ASEAN+3: the importance of contextual specificity", Journal of Asian Economics, 14(6), pp.909~926 (2004)
- Arshanapali, B, "International stock market linkages: Evidence from the pre- and post- October 1987 period", Journal of Banking and Finance, pp.193~208 (1993)
- Bartram, S.M, "The Euro and European financial market dependence", Journal of Banking & Finance, 31(5), pp.1461~1481 (2007)
- Bayoumi, T, "Shocking aspects of European Monetary Integration In Adjustment and Growth in the European Monetary Union" (1993), Cambridge University Press
- Caramazza. F., "International Financial Contagion in Currency Crises", Journal of International Money and Finance, 23, pp.51~70 (2004)
- Gourieroux, C., "Financial Econometrics: Problem, Models and Method", pp.53~86 (2001), Princeton University Press
- Dickey, D, "Unit Roots in Time Series Models; Test and Implications", American Statistician, 40, pp.12~26 (1986)
- European Central Bank, "Financial Integration in Europe", ~ (2012)
- Fratzscher, M., "Financial market integration in Europe: On the effects of EMU on stock markets", International Journal of Finance & Economics, 7(3), pp.165~193 (2002)
- Gjerde, O, "Linkages among European and World Stock Market Movements", Journal of Financial and Quantitative Analysis, 24, pp.241~295 (1995)
- Glick, R., "Contagion and Trade: Why Are Currency Crisis Regional", Journal of International Money and Finance, 18, pp.603~617 (1999)
- Granger, C. W. J., "Investigating Causal Relations by Econometric Methods and Cross- Spectral Methods", Econometrica, 34, pp.424~438 (1969)
- Hamiton, J.D, "Time Series Analysis", pp.304~305 (1994), Princeton Univ. Press
- Hilliard, J., "The relationship between equity indices on world exchanges", Journal of Finance, 34, pp.103~114 (1979)
- Jankiramanan, S, "An empirical examination of linkages between Pacific- Basin stock markets", Journal of International Financial Markets, Institutions and Money, 8, pp.155~174 (1998)
- Kim, S.J, "Dynamic stock market integration driven by the EuropeanMonetary Union:An empirical analysis", Journal of Banking & Finance, 29(10), pp.2475~2502 (2005)
- Reinhart, C., "On Crises, Contagion, and Confusion", Journal of International Economics, 51(1), pp.145~168 (2000)
- Lutkepohl, H, "Impulse Response Analysis of Cointegrated Systems", Journal of Economic Dynamics and Control, 16, pp.53~78 (1992)
- Panton, D.B., "Co-movements of international equity markets: A taxonomic approach", Journal of Financial and Quantitative Analysis, 11, pp.415~432 (1976)
- Sims, C., "Money, Income and Causality", American Economic Review, 62, pp.540~552 (1972)
- Sims, C, "Macroeconomics and Reality", Econometrica, 48, pp.1~48 (1980)
- Rijckeghem, C.V, "Sources of Contagion; is it Finance or Trade?", Journal of International Economics, 45, pp.293~308 (2001)
- Welfens P.J.J., "Financial Market Integration and Growth in the EU , in EU-ASEAN: Facing Economic Globalization", pp.97~136 (2009), Springer