A la Recherche des Facteurs D\'eterminants de l'Int\'egration Internationale des March\'es Boursiers : une Analyse sur Donn\'ees de Panel

TL;DR

This paper investigates the determinants of international stock market integration using a panel data econometric model across 30 countries, highlighting the roles of trade openness, global factors, and stability in different market types.

Contribution

It develops a time-varying integration model and compares the effects of economic and political factors on developed and emerging markets.

Findings

Trade openness positively influences integration.

Global factors mainly affect developed markets.

Economic and political stability impact emerging markets.

Abstract

The aim of this paper is to identify the determinants of international stock markets integration. Intuitively we selected a great number of factors linked to financial integration. Then, we developed an international asset-pricing model with time-varying degree of integration. This model is estimated for 30 countries (10 developed countries and 20 emerging countries) using panel data econometrics. In order to investigate whether the financial integration in emerging markets and that in developed markets react differently to the economic and financial innovations, we estimated the model as well jointly for all markets as separately for developed markets and emerging markets. Our results show that trade openness exerts a positive effect on financial integration across all markets, the global factors drive integration in developed markets whereas the factors related to economic and political stability affect financial integration in emerging markets.