The Evolution of Financial Integration on Selected European Stock Markets: a Dynamic Principal Component Approach

• Authors: Elżbieta Majewska , Joanna Olbryś

Title variants

Ewolucja procesu integracji wybranych europejskich rynków kapitałowych: zastosowanie dynamicznej analizy głównych składowych

• Languages of publication: EN

Abstracts

EN

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. 

PL

Celem pracy było badanie zmian poziomu integracji wybranych europejskich rynków kapitałowych na przestrzeni ostatnich dwudziestu lat. Analizie poddano dwie grupy rynków: (1) trzy rynki rozwinięte Wielkiej Brytanii, Francji i Niemiec, oraz (2) trzy rynki rozwijające się Europy Środkowo‑Wschodniej w Polsce, Czechach i na Węgrzech. Ewolucja procesu integracji rynków została zbadana z wykorzystaniem dynamicznej analizy głównych składowych. Jako odporną miarę integracji zastosowano indeks integracji. Wyniki empiryczne potwierdziły, że poziom integracji wzrósł w sposób istotny po wejściu Polski, Czech i Węgier do Unii Europejskiej w 2004 r. Zaobserwowano wyraźny efekt odwróconego U na wykresie indeksu integracji w przypadku całej grupy badanych rynków. Ponadto stwierdzono, że średnia wartość indeksu integracji była istotnie wyższa w okresie Globalnego Kryzysu Finansowego w porównaniu z okresem przed kryzysem.

Keywords

EN

european stock markets; dynamic principal component analysis; index of integration; Global Financial Crisis

PL

europejskie rynki kapitałowe; dynamiczna analiza głównych składowych; indeks integracji; Globalny Kryzys Finansowy; europejskie rynki kapitałowe; dynamiczna analiza głównych składowych; indeks integracji; Globalny Kryzys Finansowy

• Publisher: Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
• Journal: Comparative Economic Research. Central and Eastern Europe
• Year: 2017
• Volume: 20
• Issue: 4
• Pages: 45-63

Dates

published

2017-12-30

Contributors

author

Elżbieta Majewska

• University of Bialystok, Faculty of Mathematics and Informatics, Institute of Mathematics, Bialystok

author

Joanna Olbryś

• Bialystok University of Technology, Faculty of Computer Science, Department of Theoretical Computer Science, Bialystok

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Identifiers

DOI

10.1515/cer-2017-0027