یکپارچه سازی مالی و سرمایه گذاری پرتفوی برای ظهور بازارهای سهام بالکان
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|12630||2011||15 صفحه PDF||سفارش دهید||7493 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of Multinational Financial Management, Volume 21, Issue 1, February 2011, Pages 40–54
The study investigates the risk and return profile of international portfolios allocated by investors to major Balkan equity markets, namely Romania, Bulgaria, Croatia, Turkey, Cyprus and Greece against developed markets, Germany and the US. An error-correction vector autoregressive framework models financial integration and investigates causality effects and cointegration vectors, depicting short- and long-run dynamic linkages. The empirical findings support the presence of two cointegration vectors, indicating a stationary long-run relationship. Both domestic and external forces affect equity market behavior, leading to a long-run equilibrium. These findings are important for international asset allocation, since long-run comovements imply that risk diversification and attainment of superior portfolio returns in the Balkan equity markets may be limited for international investors, although short-run benefits may be potentially feasible in arbitrage mispricings.
The fifth European Union (EU) enlargement phase (January 2007) creates a dynamic and unique economic landscape in Euroland. The efficient economic integration of the newcoming Member States with the developed mature economies has critical implications for the long-term growth prospects of the Eurozone and particularly for the Balkan and South-Eastern European economies. The Balkan capital markets can support the convergence process by facilitating investment fund mobility and portfolio allocation to the corporate sector. International portfolio diversification can lead to efficient asset allocation and reduce investment risk. However, in integrated markets, assets associated with similar levels of risk are anticipated to have similar levels of return. The presence of common trends between Balkan and mature equity markets may indicate limited portfolio gains from diversification because the presence of common factors limits the amount of independent variation. Cointegrated markets exhibit comovements and a stable long-run behavior, although potential short-run profits should not be ruled out. High correlations alone are not sufficient to ensure long-run performance, as common long-term trends in prices are not modelled (Alexander, 2001). Depending on their level of cointegration, the Balkan equity markets can offer profitable opportunities to international investors’ diversified portfolios. Long-run equity market comovements can be associated to a number of reasons, including economic ties and policy coordination, financial innovations and market deregulation, interest rate movements or financial crises and contagion effects (e.g. Chan et al., 1997, Gelos and Sahay, 2000, Chen et al., 2002, Ratanapakorn and Sharma, 2002, Samitas et al., 2007, Syriopoulos, 2004, Syriopoulos, 2006 and Syriopoulos, 2007). The motivation for this study derives from the growing economic performance of the Balkans economies over the last years, in terms of income per capita, international competitiveness and foreign direct investment (FDI) allocation (Kekic, 2005). To access EU, the Balkan countries have promoted major reform policies, including macroeconomic stabilization, market liberalization, restructuring and privatizing state-owned corporations (IMF, 2005). However, despite these developments, empirical studies focusing on the assessment of the Balkan equity markets’ risk-return profile remain limited. Past financial research in dynamic portfolio allocation, market linkages and cointegrated trends has concentrated predominantly on mature equity markets; a range of empirical findings, however, has been rather inconsistent. The purpose of this study is to expand empirical research on the pattern of dynamic comovements and linkages between Balkan and international mature equity markets, exploring market reaction to external shocks and assessing potential portfolio diversification benefits. This exercise in considered timely and interesting, since the participation of the Balkan economies in the EU has been associated with substantial amounts in FDIs (Table 1). International investors prefer fund allocation to markets that exhibit a stable economic environment, greater openness to trade and a smooth transition path (Clausing and Dorobantu, 2005).
نتیجه گیری انگلیسی
We have examined the dynamic interdependences, linkages and causality effects between major Balkan equity markets, namely, Romania, Bulgaria, Croatia, Turkey, Cyprus and Greece and developed equity markets, the US and Germany. The empirical findings enrich the thin body of the empirical financial literature focusing on emerging economies and the Balkan equity markets in particular. The motivation for this study arises from the need to investigate the short- and long-run dynamics of equity markets that either have been or are prospective members of the European Union (EU). Financial empirical literature in the emerging Balkan equity markets remains surprisingly thin. Since a number of Balkan States have recently joined the EU, the examination of possible long-run interdependencies and comovements with major international markets remains a crucial issue and provides some indication of the overall economic convergence process. The empirical findings support the presence of cointegration vectors indicating a stationary long-run relationship between the Balkan and mature equity markets. Both domestic and external forces affect the Balkan equity markets and shape their long-run equilibrium path. Most of the Balkan equity markets have a relatively short active life and lack a substantial market depth (in terms of listed companies and capitalization). However, there are growing inflows of international portfolio investments and trading activity in the Balkan equity markets. The US, German and Greek equity markets appear more integrated, as deviations from equilibrium are restored relatively fast. These markets also hold a leading role, since they can induce strong movements in the Balkan markets but are not influenced by them. The presence of cointegrating relationships, however, has important implications for portfolio management. Long-run comovements in the Balkan equity markets imply that potential risk diversification and attainment of superior portfolio returns may be limited for international investors. However, there are still interesting short-run opportunities for international asset allocation to the Balkan markets, especially to the Romanian and Turkish equity markets that appear to have a smoother reaction to external shocks. It appears then, that in the short-run, international investors may exploit arbitrage mispricing opportunities, based on active portfolio management strategies. To conclude, the Balkan markets follow a common path of growth and become gradually more integrated with the international mature markets. These linkages are anticipated to strengthen in the medium term, as the Balkan economies are newcomers in the EU. In order to attain economic convergence, the Balkan States are bound to remove any remaining trade and investment barriers and proceed to tighter policy coordination with the EU. These developments will eventually lead to new challenges for the enlarged Euroland as a whole.