راه ادغام بازار سهام - اثر متقابل بین سیاستمداران، سرمایه گذاران و مدیران

Most econometric studies of equity market integration suggest that national markets are increasingly becoming part of a global equity market. As regards the extent of this integration, however, the results are often inconclusive. Further analysis calls for a closer scrutiny of the basic requirements for perfect integration. This paper presents an analysis of market segmentation in terms of existing regulatory and informational wedges, based on conditions in the Nordic welfare states. It is found that no barriers remain to cross-border equity market transactions, nor consequently to the perfect global integration of Nordic equity markets in a capital-flow perspective. However, certain residual cross-border tax wedges do challenge the view of perfect equity market integration. Further, continuing cross-border information gaps for small and medium-sized companies indicate the presence of a two-tier equity market integration.

Researchers and practitioners both tend to attribute today's economic crises in Asia, Russia and Latin America to the globalization of financial markets. It is assumed that existing or anticipated problems in a national market, previously handled by the government and central bank of the country concerned, are contagious and will spill over into the rest of the world. Investors act in their own interest, moving capital across national borders. Policy-makers can do nothing but look on; policy-making and regulations have lost their bite. At a time when capital controls have reappeared on government agendas, this popular view calls for a deeper analysis of the interplay between politicians, managers and investors, in order to see just how far globalization has actually gone. In the present global financial turmoil the results of such an assessment can make a crucial contribution to the search for appropriate policy prescriptions. Over the last two decades a significant volume of research has focused on ways of measuring equity market integration from an econometric point of view. Various schools of thought have developed, but for most of them the point of departure has been much the same: the law of one price, which states that if two or more markets are integrated, then identical securities should be priced identically in them all. The controversial issue dividing the different schools concerns what ‘being priced identically’ actually means. One strand in the literature, which highlights identical movements, is based on the analysis of co-movements of equity-market returns (for the analysis of correlation of returns (see, e.g. Eun and Shim, 1989, Hamao et al., 1990, Lau and Diltz, 1994 and Lin et al., 1994) for correlation of hourly returns (see, e.g. Susmel and Engle, 1994), for testing the stability of correlation coefficients (see, e.g. Jorion, 1985 and Kaplanis, 1988), for stability over longer periods (see, e.g. Erb et al., 1994, Ibrahimi et al., 1995 and Longin and Solnik, 1995) and for stability around the Crash of 1987 (see, e.g. Roll, 1988, Bertero and Mayer, 1990, Arshanapalli and Doukas, 1993 and King et al., 1994)). Solnik (1996) provides an overview of correlations between industrialized markets. This strand in the literature can be regarded as the main one. Whereas measuring co-movements in isolation leads to conclusions in terms of weak integration, measures of strong integration also involve the analysis of return gaps. Most schools focusing on strong integration also start from the law of one price, but after risks have been taken into account. In studies adopting this more stringent definition of integration the thrust of the analysis can vary from the role of currency risk (see, e.g. Jorion, 1989), to the long-term differences in risk-adjusted returns (see, e.g. Ibbotson et al., 1985), to optimal international asset allocation (see, e.g. Glen and Jorion, 1993 and Odier and Solnik, 1993), to international asset pricing with extended CAPM (see, e.g. Black, 1974, Stapleton and Subrahmanyam, 1977, Errunza and Losq, 1985, Eun and Janakiramanan, 1986 and Hietala, 1989), to home country preference bias (see, e.g. French and Poterba, 1991, Cooper and Kaplanis, 1994 and Tesar and Werner, 1995), to the international pricing of risks (see, e.g. Jorion and Schwartz, 1986, Gultekin et al., 1989, Harvey, 1991 and Dumas, 1994), to international asset pricing with extended APT (see. e.g. Cho et al., 1986, Korajczyk and Viallet, 1989 and Bansal et al., 1993), and finally to international asset pricing with consumption-based models (see, e.g. Stultz, 1981 and Wheatley, 1988). Taken together these studies point in the same direction: towards increasing equity market integration. But when it comes to the degree of integration, the results are often inconclusive, even in the case of comparable markets and periods. This claim is supported by Naranjo and Protopapadakis (1997), who provide an overview of recent integration test results. The authors argue that the conflicting results may be partly due to the lack of an economic benchmark of integration with which the statistical tests can be compared. In this paper I argue that before further progress can be made in measuring equity market integration, the fundamental prerequisites for integration to occur must be considered. The outcome of this initial step provides an economic benchmark per se. Then, once the extent to which these prerequisites have been met is fully recognized, it may be worth fine-tuning the measurement along the lines indicated above. The main benefit of focusing on the intricate interplay between politicians, investors and managers, and on the extent to which the fundamental requirements are met, is that it becomes easier to understand the sources of segmentation1 and the probability of their changing. In this way it is also possible to get a better view of the inter-temporal variation in the degree of integration. The approach boils down to an analysis of market segmentation in terms of regulatory and informational wedges. Admittedly, though, this represents a threshold view, since the regulations that exist de jure may be ineffective de facto. Fulfillment of the various prerequisites marks out different stages2 on the way towards perfect equity market integration. The first prerequisite is the absence of capital controls that effectively prevent cross-border equity transactions — issues and trade. The second prerequisite concerns the efficiency of internal regulations and the absence of tax wedges and prohibitive transaction costs. The third prerequisite concerns the exchange of information and the absence of cross-border information asymmetries, including differences between corporate governance systems and information costs. The process of integration as comprised by the fulfillment of these three prerequisites is assessed here in terms of the activities of three major stakeholder groups: politicians with their dual function of trying to retain control over capital flows3 on the one hand and achieving a sound and safe financial infrastructure on the other; investors searching for profit opportunities; and managers trying to internationalize the cost of capital while maintaining control. The process of integration will be discussed below in terms of the complex interplay between these groups. The paper presents a regional study of routes to equity market integration. The focus is on the Nordic region — Denmark, Finland, Norway and Sweden.4 In view of the role played by politicians in traditional welfare states such as these, this choice can provide a chart of all the dimensions of the integration process. The region can be said to have the highest total tax burden in global terms, which also means that politicians influence a greater proportion of expenditures to GDP. Further, since the region is singularly free from intraregional barriers and enjoys a high degree of transparency, it is possible to concentrate on differences in the transformation of the equity markets of the different countries without having to control for differences in language, accounting principles or disclosure norms. The paper is organized as follows. Section 2 provides a brief description of the structure of the Nordic equity markets and the role they play in supplying companies with risk capital. Section 3 offers an analysis of attempts by politicians/regulators to influence the magnitude and scope of cross-border equity activities. Section 4 addresses such institutional and regulatory changes in domestic equity markets as are relevant to equity market integration. Section 5 analyses corporate efforts to eliminate cross-border information asymmetries by way of foreign listing and foreign capital market activities. Section 6 emphasizes defence against take-overs as a source of equity market segmentation. The main findings are then summarized in Section 7.

From extensive econometric attempts to estimate the extent of equity market integration it has emerged that the markets are neither segmented nor fully integrated. This paper emphasizes the need for a further analysis of the actual causes of segmentation. The ‘benchmark’ case of perfect integration should meet three prerequisites: no cross-border barriers to equity activities, no internal barriers or distorting tax incentives and no cross-border information asymmetries over and above the company-wise asymmetries. Once these requirements can be said to be fulfilled, the last step will be for the econometricians to test whether or not currency and political risks have been properly priced relative to the global standard. The few published econometric studies of Nordic equity market integration (Mathur and Subrahmanyam, 1990 and Liljeblom et al., 1997) indicate an increasing degree of integration between 1974 and 1993. The empirical observation noted in this paper, based on the complex interplay between politicians/regulators, investors and managers in each individual Nordic market, indicates a strong two-tier integration. The Nordic markets as a whole are not perfectly integrated, but a segment of the market consisting of large companies exposed to detailed scrutiny on the global market, comes very close to it. In a broader perspective, this suggests that econometric studies of integration based on indices are exposed to the ‘ban of the arithmetic mean’, and should be interpreted accordingly. The conflicting results discussed in the introduction may be explained to some extent by differences in terms of the proportions of small and large companies covered by the chosen indices. As regards barriers to cross-border equity activities, the Nordic markets can be said to have concluded their transition from a state of heavy regulation to become integrated parts of the ‘global’ equity market. Remaining restrictions concern the way an activity is conducted. Since the reason behind these restrictions is tax-related, they should be associated rather with the category of internal barriers and incentive-distorting measures. Although the relaxation of taxes on unit trust savings and/or the tax relaxation on dividends and capital income often get the credit for the improvement in the functioning of the Nordic equity markets, a closer examination produces evidence that the general tax structure prevailing in the four Nordic welfare states contributes to segmentation. This is particularly obvious in the case of Sweden (the most liquid of the four markets) with its decision in 1995 to reinstall the full double taxation of corporate dividends. Hence, the second group of prerequisites is not fully met in any of the Nordic countries and contributes to intertemporal variations in the degree of integration. As regards the third category of prerequisites to be met for perfect equity market integration, there still seem to be cross-border information gaps in the Nordic case. Corporate investor relations and investment activities suggest that these gaps are gradually going to be closed. Cross-border listing and issues, and international road shows put on by Nordic companies are examples of active measures of the ‘push’ kind, while foreign companies investing (FDI) or looking for risk capital in the Nordic area, and foreign investors’ portfolio investments in the area, are all examples of ‘pull’ measures. Indirect pressure on the harmonization of the information content of local companies with that of global companies will also ensue, when domestic investors start investing abroad to an increasing extent. An issue that calls for further research concerns the extent to which the malign tax incentives still in operation in the Nordic area affect the level of equity integration of the group of genuinely international Nordic companies. Remaining tax-wedges will have to be modeled in some way or another when the time comes for an econometric test of Nordic equity market integration. Further research should also focus on the mis-pricing contingent on the remaining cross-border gaps between corporate governance models and the scope for the Nordic companies to withstand hostile take-over attempts on the part of foreign and domestic firms. Together with the ongoing globalization of equity markets, the change of attitude among Nordic policy-makers and regulators has triggered a topical debate: should the Nordic national markets form a common Nordic market (like a ‘refuge’), or should they take part in the creation of an EU market place? A joint Nordic market place would be the fourth biggest in Europe in terms of market capitalization. A first step in the direction of co-operation was taken in 1990 with the establishment of NORDQUOTE, which collects and disseminates real time information from each of the four Nordic exchanges via satellite. As a second step a Nordic strategic market alliance was established at the end of the 1990s in response to a corresponding development in other parts of Europe. The alliance NOREX — initially between the Copenhagen and the Stockholm Stock Exchanges — was in early 2000 extended with the Oslo and Reykjavik Stock Exchanges. The Helsinki Stock Exchange has taken a first step in another direction by joining the European derivative alliance EUREX with Frankfurt as its core, thus preventing for the present, from an institutional point of view, an approach towards a single Nordic equity market.