Dating the integration of world capital markets

SALA-I-MARTIN (1992): “Convergence.” Journal of Political Economy, Vol.

DRAZEN (1997): “Capital Account Liberalization as a Signal.” American Economic Review, Vol.

The analysis is performed at the country level (using national stock exchange indices) and at the sectoral level (considering banking, chemical, electricity and telecommunication indices).

Our empirical evaluation consists of (1) an analysis of alignment (by means of standard and rolling correlation analysis) to outline the overall pattern of integration; (2) the application of the concept of beta convergence (through the use of time series, panel and state-space techniques) to identify the speed of integration; and (3) the application of so-called sigma convergence to measure the degree of integration.

(2003): “Benefits and Costs of International Financial Integration: Theory and Facts.” World Economy, Vol.

” Journal of International Financial Markets, Institutions and Money, Vol.

BLANCO (2000): “Has Financial Market Integration Increased during the Nineties?

MATTHEWS (2002): “Financial Integration and the ASEAN-5 Equity Markets.” Applied Economics, Vol.

The paper considers the empirical dimension of financial integration among stock markets in four new European Union member states (the Czech Republic, Hungary, Poland and Slovakia) in comparison with the euro area.

The main objective is to test for the existence and determine the degree of the four states’ financial integration relative to the euro currency union. PAGANO (2002): “Analyse, Compare, and Apply Alternative Indicators and Monitoring Methodologies to Measure the Evolution of Capital Market Integration in the European Union”.


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