وابستگی متقابل بازار سهام بین المللی : آیا بازارهای در حال توسعه مشابه بازارهای توسعه یافته هستند؟

This paper uses a dynamic panel-data gravity model to explain the correlations between 40 markets from 1996 to 2010 using four types of market linkages: information capacity, financial integration, economic integration, and similarity in industrial structure. The mechanism of interdependence of developed markets and that of developing markets are heterogeneous: (1) information capacity and industrial structure similarity have significant impact on the correlations of a developed market with other markets; (2) economic integration drives the correlations of a developing market with other markets; (3) financial integration is important for interdependence among developed markets and that among developing markets, but not for that between developed and developing markets. The EMU has a significant positive impact on stock market integration from 1996 to 2002. This impact increases after the inauguration of the EMU in 1999 but does not increase further after the monetary transition being accomplished in 2002.

This paper uses a dynamic panel gravity model to explain the mechanism of interdependencebetween 40 national stock markets using four cross-market linkages: information capacity, financialintegration, economic integration, and similarity in industrial structure. The overall magnitudes of thelinkage effects were analyzed, as well as their heterogeneity across markets. All the linkages contributeto the overall stock market correlations. However, the mechanism of the interdependence betweendeveloped markets differs from that of developing markets. Specifically, information capacity andindustrial structure similarity have significant impact on the correlations of a developed market withother markets, whereas the correlations of a developing market with others are driven by economicintegration. Financial integration is important for interdependence among developed markets andthat among developing markets, but not for that between developed and developing markets.While allowing for heterogeneous mechanisms of interdependence, the effect of joining the Euro-pean Economic and Monetary Union (EMU) on stock market integration is examined. EMU stockmarket integration cannot be entirely explained by the same interdependence mechanisms as withother developed markets, as the impact of EMU exists before the inauguration of EMU and furtherincreases after that while bilateral linkages being controlled for. This implies that there is a “pure”positive effect of common EMU membership on stock market interdependence. The increase in cor-relations between stock markets of the EMU member countries are not only attributable to factorssuch as faster information transmission, larger industrial similarity and greater financial integration.However, the impact of the EMU does not seem to increase after monetary transition.