EMICEE · Equity Market Integration in Central and Eastern Europe.
6РП — Действия „Мария Кюри“
- Период
- 2006-01-01 → 2007-12-31
- Финансиране от ЕС
- 126 630 €
- Участници
- 1
- Схема
- EIF
Линиите свързват координатора с партньорите.
Накратко на български
Фондовите пазари в Централна и Източна Европа се анализират чрез показатели за ликвидност и корпоративно управление. Това помага да се разбере как местните акции реагират на промени в американските, европейските и руските пазари.
Кратко обяснение, генерирано от езиков модел по текста на CORDIS. Оригиналът е по-долу.
Резултати накратко
Final Activity Report Summary - EMICEE (Equity market integration in Central and Eastern Europe.)
In this project, we investigate the degree and time variation in the degree of equity market capitalisation in Central and Eastern European equity markets. We collect a unique dataset which allows us to test for the degree in market integration in a much more detailed way than previous studies have done. Our dataset contains self-made equity market indices, liquidity indicators, sector and firm concentration measures, financial development indicators, measures of economic openness and development, as well as various indicators of corporate governance, political stability, etc. In addition, for each country, we make a time-line of events that could be important for our study, such as for instance dates when a major change in ownership protection is introduced. We find that our equity indices are often quite different from those from Datastream and MSCI, which are largely biased to (very) large stocks. Interestingly, differences are also large between Datastream and MSCI, making the choice of a particular index a non-trivial issue. In most other indicators, such as liquidity and concentration, we see a general improvement until 1998, after which many indictors start to decrease again. Most markets have not completely recovered. Many markets, such as the Russian one, have a large number of cross-listed stocks, which may be either contributing to further integration, Consequently, we develop a new empirical model that allows us to estimate the effect of a large set of instruments on the degree of market integration. Our integration measure of the exposure of local equity return shocks to innovations in US, European, and Russian equity returns, yielding one measure of global and two measures of regional integration.
Текст от CORDIS, на английски · Данни: CORDIS, © Европейски съюз
Цел на проекта
The aim of this project is to give a first comprehensive view of the state of development and (time-varying) integration of CEE equity markets with Western European equity markets. While we do not have enough data to make meaningful and statistically relia ble statements about expected returns using historical returns alone, we have at least 10 years of high frequency data. Hence, we can make rather precise statements about volatility and correlations. Therefore, this study sets out to characterize the exten t and time variation in return co-movements between CEE markets and the European and US equity markets. This is an indirect but useful measure of market integration, because when markets integrate, more of their return volatility will be driven by shocks f rom the developed markets. We improve upon the present research in several ways. First, contrary to other studies, we use firm-level data instead of aggregate indices. This allows us to construct tailor-made indices as well as a large number of instruments related to market development, market liquidity, concentration, and industry alignment with other markets (see Section B for more details). Second, while previous studies have focused mainly on the three largest markets (Poland, the Czech Republic, and Hu ngary), we also include Estonia, Latvia, Lithuania, Russia, Slovenia, and the Slovak Republic. Third, for all countries, we are compiling a timeline of important political, economic, and legal events that could potentially be important for the further deve lopment of capital markets in general and equity markets in particular. Fourth, we provide for a new methodology that allows for a joint determination of expected returns and conditional volatilities (correlations) in an environment of time-varying market integration.
Оригинален текст от CORDIS (на английски).
Участници
- STICHTING KATHOLIEKE UNIVERSITEIT BRABANT · TILBURGКоординаторНидерландия
Връзки
Данни: CORDIS, © Европейски съюз