بحران های سیاسی و ادغام بازار سهام بازارهای نوظهور

This paper investigates the role of political crises in explaining the degree of stock market integration in emerging markets over the period 1991–2006. Using the International Crisis Behavior database, which contains detailed information on political crises around the world, and employing data on more than 15,500 firms, we assess whether political crises affect stock market integration in 19 emerging markets in South and East Asia, Latin America, and Central and Eastern Europe. We conclude that crises with certain characteristics generally reduce the level of stock market integration in these regions. In particular, the beginning of a political crisis, its severity, the involvement of the US in the conflict, and the number of parties involved in a crisis all have impacts on the level of stock market integration in these markets.

Political crises, such as wars, terrorist attacks, and other threats to a nation, affect stock markets and their volatility. Chen and Siems (2004) investigate the effect of terrorism on capital markets around the world and find that terrorist attacks led to considerable negative abnormal returns. Rigobon and Sack (2005) show that an increase in risks associated with the war in Iraq led to a decline in the US treasury yields and equity prices. Amihud and Wohl (2004) explore the connection between stock prices, oil prices and exchange rates and the expectation of Saddam Hussein’s fall from power. They report that the increased likelihood of Saddam’s fall from power positively affected stock prices. Straetmans et al. (2008) investigate the impact of the 9/11 attack on the linkages between industrial sectors in the US and observe that the tail dependence in most sectors increased after 9/11. Berkman et al. (forthcoming) show that an increase in rare disaster risk has a significant impact on both the mean and volatility of world stock market returns. While the impact of political crises on stock prices and volatility has been investigated in the literature, a link between political crises and stock market integration has not yet been made. However, several arguments suggest that such a link may exist. First, political crises have been shown to affect the economic linkages between countries, such as the level of Foreign Direct Investment (FDI). For example, Enders and Sandler, 1996 and Enders et al., 2006 show that acts of terrorism have a significant negative impact on the FDI flows of the countries involved. If political crises negatively affect economic linkages, then they may also have a negative impact on financial linkages. Second, political crises may increase the level of risk aversion of investors. This increased risk aversion may cause investors to perceive foreign investments (especially in emerging markets, where political risks tend to be greater) as more risky and may cause them to withdraw money from these markets. This could depress those markets but could also decrease their level of integration with the global market because they would receive less foreign investment. Panchenko and Wu (2009) find that stock market integration increases the demand for equities. Arguably, higher risk premia would lead to a reduction in demand for equities and market segmentation. In contrast to the explanations above which suggest a negative impact of political crises on stock market integration, a positive relationship is also possible. Bad news associated with a political crisis may spill over quickly into other markets, leading to contagion effects, and can thus increase the comovement of financial markets (see also Beine et al. (2010) who highlight this dark side of integration).1 If contagion drives the impact of crises on financial integration, then it is reasonable to expect a positive impact of political crises on stock market integration. Because the arguments for both negative and positive relationships seem plausible, we cannot predict which one will dominate; the question must be settled empirically. In this paper, we investigate the impacts of political crises on stock market integration in 19 emerging markets from three regions: South and East Asia, Latin America, and Central and Eastern Europe. To measure the impacts of crises, we use the International Crisis Behavior (ICB) database maintained by the University of Maryland (Brecher and Wilkenfeld, 2009). Using the ICB database, we construct several crisis-related variables, such as the number of active crises per month, the start of a crisis, and the severity of crises. Our measure of stock market integration is based on the notion that if a market is fully integrated, then assets traded on such a market should be priced identically using either a domestic CAPM or an international CAPM. Specifically, we measure stock market integration by comparing a domestic CAPM to a global CAPM on a time-varying basis, and we construct a measure of market integration based on cross-sectional estimates of domestic betas versus global betas (see Koedijk et al., 2002 and Bruner et al., 2008). In line with prior research (e.g., Bekaert, 1995, Bekaert and Harvey, 1995, De Jong and de Roon, 2005 and Yu et al., 2010), we find that the overall level of market integration has been increasing over time, although there is substantial variation among countries. With regard to the role of political crises at the country level, we find a negative relationship in most cases, but the level of statistical significance is rather low. This could be because our measure of market integration is a noisy measure on a country-by-country basis. However, when we combine our results and perform joint tests on the impacts of political crises on stock market integration for all countries in the sample or for the three different regions individually, we observe that these political crises and their specific characteristics have significant impacts on the level of market integration. In particular, the beginning of a crisis significantly reduces the degree of stock market integration. In addition, severe crises (defined as those that involve violent acts), crises that involve the US, crises that take place within the region of a particular country and crises that involve many parties generally have significant negative impacts on the degree of stock market integration. Random Effects panel regressions confirm the robustness of these findings. The remainder of this paper is structured as follows: in Section 2, we introduce our measure of market integration and the data used in this study; in Section 3, we present our results on market integration and its relationships with political crises; in Section 4, we conclude the paper.

In this paper, we investigate the role of political crises in explaining the change in the degree of stock market integration of 19 emerging markets from the regions of South and East Asia, Latin America and Central and Eastern Europe regions over the period 1991–2006. Our measure of stock market integration is based on the notion that if a market is fully integrated, then assets should be priced identically using a domestic CAPM and using an international CAPM. We find that the overall level of market integration has increased over time, although there is significant variation among the various countries in our sample. Using the International Crisis Behavior database, which contains detailed information about political crises around the world, we assess whether political crises affect stock market integration. When we investigate the role of political crises in explaining stock market integration for the full sample of emerging markets and for the different regions individually, we observe that these political crises and their specific characteristics have significant negative impacts. In particular, the start of a crisis significantly reduces the degree of stock market integration. In addition, crises that involve violent acts, as well as crises that involve the US, crises that take place within the region of a particular country, and crises that involve many actors, have significant negative impacts on the degree of stock market integration. Robustness tests using panel regression largely confirm these results.