ارتباط پویا بین بازارهای سهام اروپایی و بازارهای توسعه یافته : آیا EMU تاثیری دارد؟

This paper investigates the short- and long-run behavior of major emerging Central European (Poland, Czech Republic, Hungary, Slovakia), and developed (Germany, US) stock markets and assesses the impact of the EMU on stock market linkages. Evidence of one cointegration vector in both a pre- and a post-EMU sub-period indicates market comovements towards a stationary long-run equilibrium path. Central European markets tend to display stronger linkages with their mature counterparts, whereas the US market holds a world leading influential role. No dramatic post-EMU shock is detected in stock market dynamics. The empirical findings have important implications for the effectiveness of domestic policy decisions, as the emerging Central European states have recently joined the EU and local stock markets may become less immunized to external shocks.

Major Central European (CE) states, including Poland, the Czech Republic, Hungary, and Slovakia, have recently joined the European Union, EU (May 2004). This EU enlargement creates a dynamic financial landscape, unique at a world scale. The efficient financial integration of the CE markets with the developed European markets has crucial implications not only for the smooth accession of the CE economies but for the long-term growth prospects of Euroland as well. The short- and long-run stock market comovements in particular can have considerable repercussions for equity market risk, asset valuation, and portfolio allocation. Assets associated with similar levels of risk in different markets are anticipated to have similar levels of return, and this has an impact on efficient portfolio diversification decisions. The issue of integration between international equity markets has attracted increasing empirical research recently. Various aspects of equity market relationships have been investigated, including volatility spillovers across markets, market correlation structures, and financial crises contagion (e.g. Claessens and Forbes, 2001, Koedijk et al., 2002 and Ng, 2000). Furthermore, following the seminal work of Engle and Granger (1987) and Johansen (1988), the cointegration methodology has been employed to study comovements between stock markets. Stock markets that are cointegrated exhibit stable long-run behavior, and shocks to the stock prices are temporary rather than permanent. In the short-run, stock prices across markets may deviate from each other, but market forces, investors' tastes, and preferences, and government regulations will bring stock prices back to their long-run equilibrium. The majority of past studies in stock market comovements have concentrated mainly on mature stock markets, whereas the behavior of emerging stock markets has been neglected. A large body of research has focused on European stock markets (e.g. Corhay et al., 1993, Dickinson, 2000, Fratzscher, 2001, Yang et al., 2003 and Yang et al., 2003); on Asian, and Pacific stock markets (e.g. Dekker et al., 2001, Sharma and Wongbangpo, 2002, Yang et al., 2003 and Yang et al., 2003); on Latin American stock markets (e.g. Chen, Firth, & Rui, 2002); and on cross-regional stock market relations (e.g. Bessler and Yang, 2003, Chaudhuri and Wu, 2003, Masih and Masih, 1997 and Ratanapakorn and Sharma, 2002). Although cointegration was statistically supported in most cases, the empirical findings have not been always consistent. Absence of cointegration was concluded in some studies (e.g. Choudhry, 1994, Gerrits and Yuce, 1999, Huang et al., 2000, Kwan et al., 1995 and Pynnonen and Knif, 1998). Despite the growing importance of the emerging CE stock markets, the relevant body of research remains surprisingly limited. Furthermore, the empirical findings on this topic appear rather ambiguous and contradictory. Linne (1998), for instance, reports some evidence in favor of cointegration between the CE markets; however, no cointegration between the CE and the mature markets was detected. Jochum, Kirchgasser, and Platek (1999) assess the impact of the 1997–1998 Russian crisis on the long-run relationships between Vyshegrad countries (Poland, Czech Republic, Hungary), Russia, and the US. Bivariate cointegration relationships in the sample for the pre-crisis period cease for all but two pairs of markets after the crisis. This was attributed to the predominance of the short-run over the long-run dynamics in the post-crisis period, resulting to a change in the long-run relationship. Verchenko (2000) provides an empirical analysis of potential portfolio diversification across Eastern European and former Soviet Union stock markets. Absence of cointegration and independence of stock market movements were detected; hence, profitable diversification opportunities were concluded. Scheicher (2001) documents the pivotal influence of global factors on the Hungarian stock market, due to the high share of active international investors in this market. MacDonald (2001) studies the CE stock market indices as a group against each of three developed markets (US, Germany, UK), and concludes significant long-run comovements for each of the groupings. Gilmore and McManus (2002), however, find no long-term links between the three major CE markets (Poland, Czech Republic, Hungary), and the US; the relations of the CE stock markets with major European counterparts were not considered, though. Voronkova (2004) investigates the long-run relationships between CE stock markets (Poland, Czech Republic, Hungary), developed European stock markets (Germany, France, UK), and the US, incorporating a structural break in the model. Long-run linkages were detected between the CE emerging markets and the mature markets, implying limited diversification benefits for international investor portfolios allocated to these markets. Serwa and Bohl (2003) investigate contagion implications for European capital markets that are associated with seven important financial shocks between 1997 and 2000. The study uses correlation analysis and compares a number of developed European markets (Germany, UK, France, Ireland, Spain, Portugal, Greece) with major Central and Eastern European markets (Poland, Czech Republic, Hungary, Russia). Weak evidence of increased cross-market linkages following these crises was found, whereas emerging market returns did not converge to the developed market returns. CE stock markets were concluded to still offer considerable risk diversification opportunities. Given the dispersion of the empirical findings in relation to the CE emerging stock markets, further insight is useful. This study attempts to fill some of the gaps in the topic, and to contribute a range of innovative conclusions. It investigates the dynamic short- and long-run comovements and interdependencies between major emerging Central European stock markets, namely Poland, the Czech Republic, Hungary, Slovakia, and representative mature, developed stock markets, that is Germany, and the US. The pattern of different market reactions between emerging and mature stock markets is explored. Moreover, the study assesses the implications for the CE stock markets which may have been induced by the European Monetary Union (EMU). A stronger integration of the CE stock markets with the developed markets could improve the integration process of the CE companies into the international capital markets and have an impact on international investors' portfolio decisions. A six-dimensional vector error correction model (VECM) is employed, in order to test for the temporal causal dynamics in the Granger (1988) framework, and to gain insight into the causal relationships of the markets under study. The dynamic response path of unanticipated shocks to a stock market is also explored, and innovation accounting (impulse response functions, and forecast error variance decomposition) is incorporated. To our knowledge, the empirical issues on the CE stock markets addressed here have not been investigated before. The rest of the paper is organized as follows. Section 2 discusses briefly key characteristics of the major CE stock markets. Section 3 outlines the empirical methodology, and Section 4 presents the empirical results. Section 5 concludes.

The short- and long-run linkages between major emerging Central European markets (Poland, Czech Republic, Hungary, Slovakia), and developed markets (Germany, US) have been investigated in depth. As the CE states have joined the EU recently, the examination of dynamic interdependencies with major international stock markets remains an important issue. Emphasis has been placed on the assessment of possible implications for the CE stock markets following the establishment of the EMU. The data generating process provides preliminary indications that some convergence between the CE and major developed financial markets may be taking place over time. The tests for cointegration using the Johansen procedure support the presence of one cointegrating vector between the CE, the US, and the German stock markets in both the pre-EMU and post-EMU sample periods, indicating a stationary long-run relationship. Granger ‘causal’ relationships and lead–lag effects have also been identified between the CE and the developed stock markets. The CE stock markets tend to display stronger linkages with their mature counterparts rather than with the other CE neighbors. This may be related to the short active life of the CE stock markets since their reopening in the early 1990s, and the absence of substantial market depth in terms of capitalization, turnover, and number of traded securities. There is, however, growing inflow of foreign portfolio investments and international investors increase trading activity in the CE stock markets. The US market holds a leading role, as it can induce strong movements in the CE markets but is not influenced by them. The Polish, Hungarian, and Czech stock markets appear more sensitive to shocks from the mature markets. The Slovakian stock market is found to exhibit a more autonomous behavior relative to its CE peers. Both domestic and external factors affect the CE stock markets, shaping their long-run equilibrium. Although no dramatic impact due to the EMU has been detected, the implications for the CE stock market comovements and linkages cannot be definitely assessed. Transition appears to be smooth, and this may be related to the fact that macroeconomic policies have already been adjusted to support convergence with the EU, and meet certain prerequisite economic criteria. The integration of the CE production and trade structures is already well advanced, and is anticipated to continue at a gradual pace (Havlik, 2003). However, the time span of the two sample sub-periods examined here may not be long enough to adequately cover a business (stock market) cycle. To conclude, the Central European markets follow a common path of growth, and become gradually more integrated with the international developed markets. These linkages are anticipated to strengthen as the CE economies have joined the EU. The presence of cointegrating relationships has important implications for the effectiveness of the domestic macroeconomic policies pursued, as domestic markets become less immunized to external shocks. In the EMU framework, monetary policies in the CE markets are to become more coordinated, which may bring about similar domestic economic conditions in the medium term. The dynamics of stock market comovements lead to converge towards a common long-run equilibrium path. This can affect asset valuations, and equity market risk limiting portfolio diversification opportunities. Further research in the CE stock market behavior following their actual participation into the EMU could enrich the present findings. The implementation of complementary quantitative tools, such as dynamic volatility GARCH models, and Markov-type regime switching non-linear models can bring fresh insight into these issues.