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OECD Ülkeleri Hisse Senedi Piyasaları Arasındaki Dinamik Entegrasyon ve Segmentasyon

Year 2021, Volume: 22 Issue: 1, 196 - 212, 07.05.2021

Mustafa Çayır

https://doi.org/10.37880/cumuiibf.745241

Abstract

Bu çalışmada OECD ülkeleri hisse senedi piyasaları arasındaki entegrasyon ve segmentasyon incelenmiştir. Çalışma 2000:01 - 2018:12 dönemini kapsamakta ve ekonometrik tahminlemede feasible genelleştirilmiş en küçük kareler yöntemi kullanılmıştır. Elde edilen sonuçlara göre, zamana bağlı olarak artan entegrasyon seviyesini 2008 mortgage krizi negatif etkilemiştir. Ayrıca, entegrasyon değişkeni kendi gecikmeli değerlerinden pozitif etkilenmektedir. Dolayısıyla, entegrasyon olgusunun kendi kendini beslediğini söyleyebiliriz.

Keywords

Entegrasyon Segmentasyon Hisse Senedi Piyasaları OECD Ülkeleri Finansal Kriz

References

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  • Bae, K. H., Chan, K., & Ng, A. (2004). Investibility and Return Volatility. Journal of Financial Economics, 71, 239 – 263. https://doi.org/10.1016/S0304-405X(03)00166-1.
  • Bae, K. H., & Zhang, X. (2015). The Cost of Stock Market Integration in Emerging Markets. Asia – Pasific Journal of Financial Studies, 44, 1 – 23. https://doi.org/10.1111/ajfs.12079.
  • Boamah, N. A., Watts, E. J., & Loudon, G. (2016). Investigating Temporal Variation in the Global and Regional Integration of African Stock Markets. Journal of Multinational Financial Management, 36, 103 – 118. https://doi.org/10.1016/j.mulfin.2016.06.001.
  • Bodenhorn, H. (1992). Capital Mobility and Financial Integration in Antebellum America. The Journal of Economic History, 52 (3), 585 – 610. https://www.jstor.org/stable/2122886.
  • Bodurtha Jr., J. N. (1986). Integration vs. Segmentation in the Canadian Stock Market: Discussion. The Journal of Finance, 41 (3), 614 – 616. https://www.jstor.org/stable/2328490.
  • Chambet, A., & Gibson, R. (2008). Financial Integration, Economic Instability and Trade Structure in Emerging Markets. Journal of International Money and Finance, 27, 654 – 675. https://doi.org/10.1016/j.jimonfin.2008.02.007.
  • Chen, M. P., Chen, P. F., & Lee, C. C. (2014). Frontier Stock Market Integration and the Global Financial Crisis. North American Journal of Economics and Finance, 29, 84 – 103. https://doi.org/10.1016/j.najef.2014.05.004.
  • Chi, J., Li, K., & Young, M. (2006). Financial Integration in East Asian Equity Markets. Pacific Economic Review, 11 (4), 513 – 526. https://doi.org/10.1111/j.1468-0106.2006.00332.x.
  • Collins, D., & Abrahamson, M. (2004). African Equity Markets and the Process of Global Financial Integration. South African Journal of Economics, 72 (4), 658 – 683. http://onlinelibrary.wiley.com/doi/10.1111/j.1813-6982.2004.tb00129.x/pdf.
  • Deltuvaite, V. (2015). An Empirical Investigation of the Baltic Stock Markets Global Integration. Procedia – Social and Behavioral Sciences, 213, 430 – 435. https://doi.org/10.1016/j.sbspro.2015.11.562.
  • Eken, S. (1984). Integration of Domestic and International Financial Markets: The Japanese Experience. Palgrave Macmillan Journals, 31 (3), 499 – 548. http://www.jstor.org/stable/3866752.
  • Gal, Z. (2015). Financial Globalisation and the Spatial Limitations of the Financial – Monetary Integration in the Euro Area. Public Finance Quarterly, 60 (1), 104 – 124. https://www.researchgate.net/publication/278197355.
  • Georgoutsos, D., & Migiakis, P. M. (2007). European and International Bond Markets Integration. World Academy of Science, Engineering and Technology, 30, 52 – 57. https://pdfs.semanticscholar.org/c10a/8959173128a178093ae7ccc2db30c59460bb.pdf.
  • Jarrett, J., Klein, A. F., & Kyper, E. (2013). Association Between Asian Equity Markets and Western Markets: Evidence from the Indexes of Equity Markets. Asian Journal of Empirical Research, 3 (8), 972 – 989. https://digitalcommons.uri.edu/cgi/viewcontent.cgi?referer=https://www.google.com/&httpsredir=1&article=1025&context=cba_facpubs.
  • Jong, F. D., & Roon, F. A. D. (2005). Time – Varying Market Integration and Expected Returns in Emerging Markets. Journal of Financial Economics, 78, 583 – 613. https://doi.org/10.1016/j.jfineco.2004.10.010.
  • Jorion, P., & Schwartz, E. (1986). Integration vs. Segmentation in the Canadian Stock Market. The Journal of Finance, 41 (3), 603 – 614. https://www.jstor.org/stable/2328489. Kim, S. W., Kim, Y. M., & Choi, M. J. (2015). Asia – Pacific Stock Market Integration: New Evidence by Incorporating Regime Changes. Emerging Markets Finance and Trade, 51 (4), 68 – 88. https://doi.org/10.1080/1540496X.2015.1026726.
  • Komatsubara, T., Okimoto, T., & Tatsumi, K. I. (2017). Dynamics of Integration in East Asian Equity Markets. Journal of the Japanese and International Economies, 45, 37 – 50. https://doi.org/10.1016/j.jjie.2017.07.002.
  • Mellado, C., & Escobari, D. (2015). Virtual Integration of Financial Markets: A Dynamic Correlation Analysis of the Creation of the Latin American Integrated Market. Applied Economics, 47 (19), 1956 – 1971. https://doi.org/10.1080/00036846.2014.1002892.
  • Mittoo, U. R. (1992). Additional Evidence on Integration in the Canadian Stock Market. The Journal of Finance, 47 (5), 2035 – 2054. http://www.jstor.org/stable/2329009.
  • Neal, L. (1987). The Integration and Efficiency of the London and Amsterdam Stock Markets in the Eighteenth Century. The Journal of Economic History, 47 (1), 97 – 115. http://www.jstor.org/stable/2121941.
  • Phylaktis, K., & Ravazzolo, F. (2002). Measuring Financial and Economic Integration with Equity Prices in Emerging Markets. Journal of International Money and Finance, 21, 879 – 903. https://doi.org/10.1016/S0261-5606(02)00027-X.
  • Piesse, J., & Hearn, B. (2005). Regional Integration of Equity Markets in Sub – Saharan Africa. South African Journal of Economics, 73 (1), 36 – 52. https://doi.org/10.1111/j.1813-6982.2005.00003.x.
  • Pukthuanthong, K., & Roll, R. (2009). Global Market Integration: An Alternative Measure and Its Application. Journal of Financial Economics, 94, 214 – 232. https://doi.org/10.1016/j.jfineco.2008.12.004.
  • Shi, J., Bilson, C., Powell, J. G., & Wigg, J. (2010). Foreign Direct Investment and International Stock Market Integration. Australian Journal of Management, 35 (3), 265 – 290. https://doi.org/10.1177/0312896210384680.
  • Tse, Y. (1998). International Linkages in Euromark Futures Markets: Information Transmission and Market Integration. The Journal of Futures Markets, 18 (2), 129 – 149. https://doi.org/10.1002/(SICI)1096-9934(199804)18:2<129::AID-FUT1>3.0.CO;2-K.
  • Valadkhani, A., & Chancharat, S. (2007). Dynamic Linkage Between Thai and International Stock Markets. Journal of Economic Studies, 35 (5), 425 – 441. https://pdfs.semanticscholar.org/493c/1b5cc2f0475ab245e5ff457cebdd27beb493.pdf.
  • Vithessonthi, C., & Kumarasinghe, S. (2016). Financial Development, International Trade Integration, and Stock Market Integration: Evidence from Asia. Journal of Multinational Financial Management, 35, 79 – 92. http://dx.doi.org/10.1016/j.mulfin.2016.03.001.
  • Wang, M. C., Fang, M., & Ye, J. K. (2013). Financial Integration of Large – and Small – Cap Stocks in Emerging Markets. Emerging Markets Finance and Trade, 49 (4), 17 – 31. https://doi.org/10.2753/REE1540-496X4905S402.
  • Yi, Z., & Tan, S. L. (2009). An Empirical Analysis of Stock Market Integration: Comparison study of Singapore and Malaysia. Singapore Economic Review, 54 (2), 217 – 232. https://doi.org/10.1142/S021759080900332X.

Dynamic Integration and Segmentation Among Equity Markets of OECD Countries

Year 2021, Volume: 22 Issue: 1, 196 - 212, 07.05.2021

Mustafa Çayır

https://doi.org/10.37880/cumuiibf.745241

Abstract

Integration and segmentation among the equity markets of OECD countries have been investigated in this study. The study covers 2000:01 – 2018:12 period and the method of feasible generalized least square is used in the econometric estimation. The 2008 mortgage crisis has affected the level of integration negatively while the passing of time influences the integration level positively according to the obtained results. Then, the current integration responds to its own lagged values positively. So, we can say that the integration phenomenon feeds itself .

Keywords

Integration Segmentation Equity Markets OECD Countries Financial Crisis

References

  • Alotaibi, A. R., & Mishra, A. V. (2017). Time Varying International Financial Integration for GCC Stock Markets. The Quarterly Review of Economics and Finance, 63, 66 – 78. http://dx.doi.org/10.1016/j.qref.2016.03.001.
  • Bae, K. H., Chan, K., & Ng, A. (2004). Investibility and Return Volatility. Journal of Financial Economics, 71, 239 – 263. https://doi.org/10.1016/S0304-405X(03)00166-1.
  • Bae, K. H., & Zhang, X. (2015). The Cost of Stock Market Integration in Emerging Markets. Asia – Pasific Journal of Financial Studies, 44, 1 – 23. https://doi.org/10.1111/ajfs.12079.
  • Boamah, N. A., Watts, E. J., & Loudon, G. (2016). Investigating Temporal Variation in the Global and Regional Integration of African Stock Markets. Journal of Multinational Financial Management, 36, 103 – 118. https://doi.org/10.1016/j.mulfin.2016.06.001.
  • Bodenhorn, H. (1992). Capital Mobility and Financial Integration in Antebellum America. The Journal of Economic History, 52 (3), 585 – 610. https://www.jstor.org/stable/2122886.
  • Bodurtha Jr., J. N. (1986). Integration vs. Segmentation in the Canadian Stock Market: Discussion. The Journal of Finance, 41 (3), 614 – 616. https://www.jstor.org/stable/2328490.
  • Chambet, A., & Gibson, R. (2008). Financial Integration, Economic Instability and Trade Structure in Emerging Markets. Journal of International Money and Finance, 27, 654 – 675. https://doi.org/10.1016/j.jimonfin.2008.02.007.
  • Chen, M. P., Chen, P. F., & Lee, C. C. (2014). Frontier Stock Market Integration and the Global Financial Crisis. North American Journal of Economics and Finance, 29, 84 – 103. https://doi.org/10.1016/j.najef.2014.05.004.
  • Chi, J., Li, K., & Young, M. (2006). Financial Integration in East Asian Equity Markets. Pacific Economic Review, 11 (4), 513 – 526. https://doi.org/10.1111/j.1468-0106.2006.00332.x.
  • Collins, D., & Abrahamson, M. (2004). African Equity Markets and the Process of Global Financial Integration. South African Journal of Economics, 72 (4), 658 – 683. http://onlinelibrary.wiley.com/doi/10.1111/j.1813-6982.2004.tb00129.x/pdf.
  • Deltuvaite, V. (2015). An Empirical Investigation of the Baltic Stock Markets Global Integration. Procedia – Social and Behavioral Sciences, 213, 430 – 435. https://doi.org/10.1016/j.sbspro.2015.11.562.
  • Eken, S. (1984). Integration of Domestic and International Financial Markets: The Japanese Experience. Palgrave Macmillan Journals, 31 (3), 499 – 548. http://www.jstor.org/stable/3866752.
  • Gal, Z. (2015). Financial Globalisation and the Spatial Limitations of the Financial – Monetary Integration in the Euro Area. Public Finance Quarterly, 60 (1), 104 – 124. https://www.researchgate.net/publication/278197355.
  • Georgoutsos, D., & Migiakis, P. M. (2007). European and International Bond Markets Integration. World Academy of Science, Engineering and Technology, 30, 52 – 57. https://pdfs.semanticscholar.org/c10a/8959173128a178093ae7ccc2db30c59460bb.pdf.
  • Jarrett, J., Klein, A. F., & Kyper, E. (2013). Association Between Asian Equity Markets and Western Markets: Evidence from the Indexes of Equity Markets. Asian Journal of Empirical Research, 3 (8), 972 – 989. https://digitalcommons.uri.edu/cgi/viewcontent.cgi?referer=https://www.google.com/&httpsredir=1&article=1025&context=cba_facpubs.
  • Jong, F. D., & Roon, F. A. D. (2005). Time – Varying Market Integration and Expected Returns in Emerging Markets. Journal of Financial Economics, 78, 583 – 613. https://doi.org/10.1016/j.jfineco.2004.10.010.
  • Jorion, P., & Schwartz, E. (1986). Integration vs. Segmentation in the Canadian Stock Market. The Journal of Finance, 41 (3), 603 – 614. https://www.jstor.org/stable/2328489. Kim, S. W., Kim, Y. M., & Choi, M. J. (2015). Asia – Pacific Stock Market Integration: New Evidence by Incorporating Regime Changes. Emerging Markets Finance and Trade, 51 (4), 68 – 88. https://doi.org/10.1080/1540496X.2015.1026726.
  • Komatsubara, T., Okimoto, T., & Tatsumi, K. I. (2017). Dynamics of Integration in East Asian Equity Markets. Journal of the Japanese and International Economies, 45, 37 – 50. https://doi.org/10.1016/j.jjie.2017.07.002.
  • Mellado, C., & Escobari, D. (2015). Virtual Integration of Financial Markets: A Dynamic Correlation Analysis of the Creation of the Latin American Integrated Market. Applied Economics, 47 (19), 1956 – 1971. https://doi.org/10.1080/00036846.2014.1002892.
  • Mittoo, U. R. (1992). Additional Evidence on Integration in the Canadian Stock Market. The Journal of Finance, 47 (5), 2035 – 2054. http://www.jstor.org/stable/2329009.
  • Neal, L. (1987). The Integration and Efficiency of the London and Amsterdam Stock Markets in the Eighteenth Century. The Journal of Economic History, 47 (1), 97 – 115. http://www.jstor.org/stable/2121941.
  • Phylaktis, K., & Ravazzolo, F. (2002). Measuring Financial and Economic Integration with Equity Prices in Emerging Markets. Journal of International Money and Finance, 21, 879 – 903. https://doi.org/10.1016/S0261-5606(02)00027-X.
  • Piesse, J., & Hearn, B. (2005). Regional Integration of Equity Markets in Sub – Saharan Africa. South African Journal of Economics, 73 (1), 36 – 52. https://doi.org/10.1111/j.1813-6982.2005.00003.x.
  • Pukthuanthong, K., & Roll, R. (2009). Global Market Integration: An Alternative Measure and Its Application. Journal of Financial Economics, 94, 214 – 232. https://doi.org/10.1016/j.jfineco.2008.12.004.
  • Shi, J., Bilson, C., Powell, J. G., & Wigg, J. (2010). Foreign Direct Investment and International Stock Market Integration. Australian Journal of Management, 35 (3), 265 – 290. https://doi.org/10.1177/0312896210384680.
  • Tse, Y. (1998). International Linkages in Euromark Futures Markets: Information Transmission and Market Integration. The Journal of Futures Markets, 18 (2), 129 – 149. https://doi.org/10.1002/(SICI)1096-9934(199804)18:2<129::AID-FUT1>3.0.CO;2-K.
  • Valadkhani, A., & Chancharat, S. (2007). Dynamic Linkage Between Thai and International Stock Markets. Journal of Economic Studies, 35 (5), 425 – 441. https://pdfs.semanticscholar.org/493c/1b5cc2f0475ab245e5ff457cebdd27beb493.pdf.
  • Vithessonthi, C., & Kumarasinghe, S. (2016). Financial Development, International Trade Integration, and Stock Market Integration: Evidence from Asia. Journal of Multinational Financial Management, 35, 79 – 92. http://dx.doi.org/10.1016/j.mulfin.2016.03.001.
  • Wang, M. C., Fang, M., & Ye, J. K. (2013). Financial Integration of Large – and Small – Cap Stocks in Emerging Markets. Emerging Markets Finance and Trade, 49 (4), 17 – 31. https://doi.org/10.2753/REE1540-496X4905S402.
  • Yi, Z., & Tan, S. L. (2009). An Empirical Analysis of Stock Market Integration: Comparison study of Singapore and Malaysia. Singapore Economic Review, 54 (2), 217 – 232. https://doi.org/10.1142/S021759080900332X.
There are 30 citations in total.

Details

Primary Language English
Subjects Finance
Journal Section Makaleler
Authors

Mustafa Çayır 0000-0001-8744-631X

Publication Date May 7, 2021
Submission Date May 29, 2020
Published in Issue Year 2021Volume: 22 Issue: 1

Cite

APA Çayır, M. (2021). Dynamic Integration and Segmentation Among Equity Markets of OECD Countries. Cumhuriyet Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 22(1), 196-212. https://doi.org/10.37880/cumuiibf.745241
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