Financial Integration at Times of Crisis and Recovery

Babecký, Jan; Komarek, Lubos; Komarkova, Zlatuse

doi:10.1108/s1569-376720170000018010

Cited by 12 publications

(12 citation statements)

References 24 publications

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“…the forces that drive globalization such as the increasingly rapid global communications, the infrastructure of transportations, and homogenization and the gathering of consumer demands are further enhanced by the reduction of barriers to capital investments in emerging markets. Babecky et al (2013) suggest that the process of financial integration occurred in the last decade is accelerated by the rapid development of the financial sectors, especially by the financial innovations. Meanwhile, Zaimovic and Arnaut-Berilo (2012) stated that the world stock market integration has been a very interesting topic today, especially after the subprime crisis in 2008.…”

Section: Introductionmentioning

confidence: 99%

Indonesian Stock Market’s Dynamic Integration with Asian Stock Markets and World Stock Markets

Robiyanto

2018

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The study examines the relationship and integration of stock markets by using a DCC-GARCH from the period of is chosen because in this period there has been a revocation of foreign ownership restrictions on the Indonesia Stock Exchange. By using this dynamic approach, the relationship, even the integration, of the ever-changing stock markets need to be analyzed with an approach that can accommodate and capture the dynamism of emerging stock markets studied in more detail. Beside DCC-GARCH, several additional analysis were also conducted. The data used in this study are the stock price index data on the stock markets studied namely Nikkei 225 index, Dow Jones . This study found that after subprime mortgage crisis in 2008, the Indonesian stock market was more integrated with several stock markets in Asia and especially in the stock markets in the ASEAN region. By separating the study period into three periods of pre-crisis, during crisis and post-crisis, this study found that the level of stock market integration in Indonesia with stock markets in Asia and the world is increasing. This study shows the importance of dynamic approach's usage in stock market integration analysis. dan Indeks Komposit Jakarta (JCI). Kajian ini mendapati selepas krisis "gadai janji subprima" pada tahun 2008, pasaran saham Indonesia lebih terintegrasi dengan beberapa pasaran saham di Asia dan terutama di pasaran saham di rantau ASEAN. Dengan memisahkan tempoh kajian kepada tiga tempoh pra-krisis, semasa krisis dan pasca krisis, kajian ini mendapati bahawa tahap integrasi pasaran saham di Indonesia dengan pasaran saham di Asia dan dunia semakin meningkat. Kajian ini menunjukkan kepentingan penggunaan pendekatan dinamik dalam analisis integrasi pasaran saham.Kata kunci: DCC-GARCH; integrasi pasaran saham; segmen pasaran saham; pasaran baru muncul, pasaran mantap JPengurusan 15 (52) 2018.indd 181

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Section: Introductionmentioning

confidence: 99%

Indonesian Stock Market’s Dynamic Integration with Asian Stock Markets and World Stock Markets

Robiyanto

2018

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“…They find that the external early warning signals are the real effective exchange rate, export, current account to GDP, foreign direct investment to GDP, terms of trade, US real interest rates, and GDP of industrialized countries. Babecky et al (2013) find that an increase in money market interest rates, worsening government balance, and a drop in the central bank's foreign exchange reserves usually precede currency crises in developed countries, while Claessens and Kose (2013) show that a rapid increase in asset and credit prices can lead to crises.…”

Section: Type Of Crisismentioning

confidence: 98%

Early Warning Indicators and Optimal Policies for Mitigating Economic Crises: Evidence From Meta-Analysis

Abubakar¹,

Utari²,

Azwar³

2020

BEMP

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This study examines the early warning indicators of crises and the optimal policies for mitigating economic crises. Based on meta-analysis of 72 studies, we find that the exchange rate is the most used indicator in detecting crises, and the optimal policies for mitigating crises are monetary and fiscal policies. We further find that besides the exchange rate, the interest rate is a dominant indicator of crises in developed countries.Moreover, the foreign exchange, international reserves and current account are the dominant indicators in developing countries. The evidence for developing countries aligns with the finding that policies addressing external sector performance are preferable to mitigate crises in these countries.

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“…Yang and Hamori (2013), Orlowski and Tsibulina (2014), Deltuvait (2015) and Babecký et al (2017) studied the interdependencies between the debt markets of Central and Eastern Europe and some Eurozone countries. The authors argue for differentiated evidence.…”

Section: Literature Reviewmentioning

confidence: 99%

“…The author shows that the interdependencies of the CEEC -3 bond markets are higher than when compared to the other markets analysed. Babecký et al (2017) analyzed whether financial integration was resumed, focusing on the period from 2002 to 2015. The analysis covers the economies of Central Europe (Czech Republic, Hungary and Poland), the new countries of the euro area (Slovenia and Slovakia) and Western Europe (Austria, Germany, Portugal).…”

Section: Literature Reviewmentioning

confidence: 99%

European Financial Market Integration: A Closer Look at Government Bonds in Eurozone Countries

2020

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This research aims to test the interdependencies between the Eurozone, US and Japanese debt markets, through the yields of 10-year sovereign bonds. The sample covers the period from 2002:01 to 2019:07. The analysis aims to provide answers to two questions: Has the global financial crisis accentuated the interdependencies in the Eurozone debt markets? If yes, how did it influence the movements in sovereign bond yields? The results suggest that the global financial crisis did not accentuate the levels of interdependence between the main Euro zone debt markets. In addition, the results suggest the existence of high movements in periods of crisis and not crisis. We also found that yields on PIIGS sovereign bonds decreased their interdependencies with their peers in the years 2002 to 2019, with the exception of the Greek debt market.

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Financial Integration at Times of Crisis and Recovery

Cited by 12 publications

References 24 publications

Indonesian Stock Market’s Dynamic Integration with Asian Stock Markets and World Stock Markets

Indonesian Stock Market’s Dynamic Integration with Asian Stock Markets and World Stock Markets

Early Warning Indicators and Optimal Policies for Mitigating Economic Crises: Evidence From Meta-Analysis

European Financial Market Integration: A Closer Look at Government Bonds in Eurozone Countries

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