Avadanei, Andreea (2011): Indicatori de măsurare a integrării financiare europene. Literature review.
Preview |
PDF
MPRA_paper_28737.pdf Download (235kB) | Preview |
Abstract
The purpose of this paper is to highlight the level of European financial integration, based on the academic literature analyzing a comprehensive set of indicators and methodologies. We structured our research on sections that present a theoretical approach of the instruments that will be used in order to evaluate the progress of financial integration and their limits; the evolution of this process from EMU to the global crisis and beyond by studying financial integration indicators according to Adam et al. (2002) classification, and some considerations about the developments in the European Union new member states. Our concluding remarks outline the widespread use of quantitative and price-based indicators, as well as the different degree of integration from one financial sector to another.
Item Type: | MPRA Paper |
---|---|
Original Title: | Indicatori de măsurare a integrării financiare europene. Literature review |
English Title: | Measuring European financial market integration. A literature review |
Language: | Romanian |
Keywords: | financial integration; common currency; the law of one price; beta convergence; home bias |
Subjects: | F - International Economics > F3 - International Finance > F30 - General G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E40 - General F - International Economics > F3 - International Finance > F36 - Financial Aspects of Economic Integration |
Item ID: | 28737 |
Depositing User: | Andreea Avadanei |
Date Deposited: | 10 Feb 2011 16:57 |
Last Modified: | 29 Sep 2019 03:29 |
References: | 1. Adam, K., Japelli, T., Menichini, A., Padula, M., Pagano, M., „Analyse, compare and apply alternative indicators and monitoring methodologies to measure the evolution of capital market integration in the European Union”, European Commission, Bruxelles, 2002 2. Adjaouté, K., Danthine, J.P., Isakov, D., „Portfolio Diversification in Europe”, Cambridge University Press, 2005 3. Ayuso, J., Blanco, R., „Has financial market integration increased during the 1990s?”, Journal of International Financial Markets, Institutions and Money 11, 2001 4. Babetskii, I., Komarek, L., Komarkova, Z., „Financial Integration of Stock Markets among New EU Member States and Euro Area”, CNB Working Paper Series, 2007 5. Baele, L., Ferrando, A., Krilova, E., Monnet, C., „Measuring financial integration in the euro area”, Occasional Paper Series No. 14, European Central Bank, 2004 6. Balke, N.S., Fomby, T.B., „Threshold Cointegration”, International Economic Review, Volume 8, Issue 3, 1997 7. Bekaert, G., C.R. Harvey, „Time-Varying World Market Integration”, Journal of Finance, Vol.1, No.2, 1995 8. Berger, A. N., Saunders, A., Scalise, J. M., Udell, G. F., „The effects of bank mergers and acquisitions on small business lending”, Journal of Financial Economics, 50, 1999 9. Brada, J., Kutan, A., Zhou, S., „Real and Monetary Convergence between the European Union’s Core and Recent Member Countries: A Rolling Cointegration Approach”, Journal of Banking and Finance 29, 2005 10. Chen, Z., Knez, P., „ Measurement of market integration and arbitrage”, Review of Financial Studies 8, 1995 11. Chiuri, M., Jappelli, T., „Financial market imperfections and home ownership: A comparative study”, European Economic Review 47, 2003 12. Codogno, L., Favero, C., Missale, A., „Yields spreads on government bonds before and after EMU”, Economic Policy 18, 2003 13. Corvoisier, S., Gropp, R., „Bank concentration and retail interest rates”, Journal of Banking and Finance 26, 2002 14. Crespo-Cuaresma, J., Wojcik, C., „The Monetary Independence Hypothesis: Evidence from the Czech Republic, Hungary and Poland”, National Bank of Poland, Research Paper, Bank and Credit No. 1, 2004 15. Danthine, J.-P., Giavazzi, F., Von Thadden, E.-L., „European Financial Markets after EMU: A First Assement”, CEPR Discussion Paper No. 2413, 2001 16. Demirguc-Kunt, A., Levine, R., „Financial Structure and Economic Growth: A Cross-Country Comparison of Banks, Markets, and Development” MIT Press, Cambridge, Massachusetts, 2001 17. De Santis, G., B. Gerard, “International asset pricing and portfolio diversification with time-varying risk”, Journal of Finance, No. 52, 1997 18. Djankov, S., LaPorta, R., Lopez-de-Silanes, F., Sheifer, A., „Legal structure and judicial efficiency: the Lez Mundi project”, World Bank Paper, 2001 19. Dvorak, T., Geiregat, C., „Are the New and Old EU Countries Financialy Integrated?”, Union College, Schenectady, New York, 2004 20. Feldstein, M., Horioka, C., „Domestic saving and international capital flows”, The Economic Journal 90, 1980 21. Fratzscher, M., “Financial market integration in Europe: the effects of EMU on stock market integration”, International Journal of Finance and Economics, 2002 22. G. Galati, K. Tsatsaronis“ The impact of the euro on Europe’s financial markets”, BIS Working Paper No. 100, 2001 23. Gianetti, M., „The effects of integration on regional disparities: Convergence, divergence or both?”, European Economic Review, Volume 46, Issue 3, 2002 24. Gilmore, C.G., McManus, G.M., „International portfolio diversification: US and Central European Equity Markets”, Emerging Markets Review 3, 2003 25. Guiso, L., Jappelli, T., Padula, M., Pagano, M., „Financial Market Integration and Economic Growth in the EU”, Economic Policy 19, 2004 26. Hankel, A., Schachtschneider, K.A., Starbatty, J., „Kein Bail-out zur Rettung des Euro-Raums”, Frankfurter Allgemeine Zeitung, 2009 27. Hansen, B.E., Seo, B., „Testing for two-regime threshold cointegration in vector error-correction models”, Journal of Economterics 110, 2002 28. Hardouvelis, G., Malliaropulos, D., Priestley R., „EMU and European Stock Market Integration”, Journal of Business 79, 2006 29. Hartmann, P., Maddaloni, A., Manganelli S., „The Euro-Area Financial System: Structure, Integration, and Policy Initiatives”, Oxford Review of Economic Policy Vol.19, No.1, 2004 30. Herrmann, S., Jochem, A., „Real and nominal convergence in the Central and East European Accession Countries”, Intereconomics, Volume 38, Number 6, 2003 31. Inziger, D., Haiss, P., „Integration of European Stock Markets:A Review and Extension of Quantity-Based Measures”, EL Working Paper No. 74, Europainstitut, University of Economics and Business Administration Vienna, 2006 32. Japelli, T., Pagano, M.,“Financial market integration under EMU”, European Commission, 2008 33. Jenson, J., “European bond yields at record lows”, Finance Gates, 2005 34. Kahler, J., „The information efficiency on stock markets in Central and Eastern Europe’”, in Schroder, M. (ed.), The New Capital Markets in Central and Eastern Europe, Springer, Berlin, 2001 35. Karlinger, L., “The impact of common currencies on financial markets: A literature review and evidence from the euro area”, Bank of Canada Working Paper, 2002 36. Kleimeier, S. Sander, H., „Asymmetric adjustment of commercial bank interest rates in the euro area: Implications for monetary policy”, Kredit und Kapital 2, 2002 37. Levine, R., Norman, L., Thorsten, B., “Financial Intermediation and Growth: Causality and Causes,” Journal of Monetary Economics, 2000 38. Levine, R., „Finance and Growth”, In Aghion, P. and Durlauf, S. (eds.) “Handbook of Economic Growth, 2004 39. Lo, M. Zivot E., „Threshold Cointegration and Nonlinear Adjustment to the Law of One Price”. Macroeconomic Dynamics 5, 2001 40. MacDonald, R., ‘Transformation of External Shocks and Capital Market Integration’. In Schroder, M. (ed.), The New Capital Markets in Central and Eastern Europe, Springer, Berlin, 2001 41. Martynova, M, Renneboog, L., “Mergers and Acquisitions in Europe” Tilburg University Finance Working Paper No 114/2006, 2006 42. Moroe, T., Wang, P., „Volatility in Stock Returns for New EU Member States: Markov Regime Switching Model”, International Review of Financial Analysis 16, 2007 43. Poghosyan, T., De Haan, J., „Interest Rate Linkages in EMU Countries: A Rolling Threshold Vector Error-Correction Approach”, CESifo Working Paper No. 2060, 2007 44. Pungulescu, C., Measuring Financial Integration in the European Monetary Union: An Application for the East European Accession Countries, Working Paper, Spring Meeting of Young Economists, Varsovia, 2003 45. Pungulescu, C., “Mesuring financial market integration: An Apllication for the East-European new member states”, Toulouse Barcelona Business School Working Paper, 2009 46. Santillan, J, Bayle, M., Thygesen, C., “The impactof the euro on money and bond markets”, Occasional Paper Studies No. 1, European Central Bank, 2000 47. Schroder, P.J.H., „Reconsidering money: Monetary Exchange with Additive Tranzaction Costs”, Journal of Institutional and Theoretical Economics JITE, Volume 157, Number 2, 2001 48. Schultz, A., Wolff, G. B., „Sovereign Bond Market Integration: The Euro, Trading Platforms and Globalization”, European Economy Economic Papers 332, 2008, 49. Stulz, R.M., „Globalization of Equity Markets and the cost of Capital”, NBER Working Papers 7021, 1999 50. Syriopoulos, T., „Risk and Return Implications from Investing in Emerging European Stock Markets”, Journal of International Financial Markets, Institutions and Money 16, 2006 51. Thiel, M., “Finance and economic growth : a review of theory and the available evidence”, European Economic Paper No. 158, 2001 52. Thimann, C., „Financial Sectors in EU Accession Countries”, European CENTRAL Bank, 2002 53. Tilford, S., “Will the Eurozone Crack?”, London Centre for European Reform, 2006 54. Voronkova, S., „Equity Market Integration in Central European Emerging Markets: A Cointegration Analysis with Shifting Regimes”, International Review of Financial Analysis 13, 2004 55. ***European Commission, „The EU Economy: 2001 review-investing in the future”, Directorate General for Economic and Financial Affairs, 2001 |
URI: | https://mpra.ub.uni-muenchen.de/id/eprint/28737 |