IDEAS home Printed from https://ideas.repec.org/a/aes/amfeco/v42y2016i18p269.html
   My bibliography  Save this article

Financial Integration into EU: The Romanian Case

Author

Listed:
  • Ibrahim Bozkurt

    (Cankiri Karatekin University, Turkey)

  • Engin Akman

    (Cankiri Karatekin University, Turkey)

Abstract

The aim of this study is to investigate the determinants of integration between stock market of Romania and other stock markets of European Union (EU) countries. Correlations between the stock returns represent the level of integration between the stock markets. Empirical analysis are performed with daily stock returns of 24 EU members including Romania for 2002-2012 period using panel data gravity models and correlations are investigated. Findings reveal that the following factors have significant and robust effects on the financial integration process of Romania with other 23 EU members; (i) EU membership, (ii) bilateral trade, (iii) GDP per capita, (iv) 2012 sovereign debt crisis and (v) East European location. The results emphasize that intensifying economic relations with EU members can contribute the integration of Romanian stock market with other EU members.

Suggested Citation

  • Ibrahim Bozkurt & Engin Akman, 2016. "Financial Integration into EU: The Romanian Case," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 18(42), pages 269-269, May.
    • Handle: RePEc:aes:amfeco:v:42:y:2016:i:18:p:269
    as

    Download full text from publisher

    File URL: http://www.amfiteatrueconomic.ro/temp/Article_2510.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Emiliano Grossman & Patrick Leblond, 2011. "European Financial Integration: Finally the Great Leap Forward?," Journal of Common Market Studies, Wiley Blackwell, vol. 49(2), pages 413-435, March.
    2. repec:hal:spmain:info:hdl:2441/c8dmi8nm4pdjkuc9g708pipbp is not listed on IDEAS
    3. Whitney K. Newey & Kenneth D. West, 1994. "Automatic Lag Selection in Covariance Matrix Estimation," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 61(4), pages 631-653.
    4. Baele, Lieven & Ferrando, Annalisa & Hördahl, Peter & Krylova, Elizaveta & Monnet, Cyril, 2004. "Measuring financial integration in the euro area," Occasional Paper Series 14, European Central Bank.
    5. Bekaert, Geert & Harvey, Campbell R. & Lundblad, Christian T. & Siegel, Stephan, 2013. "The European Union, the Euro, and equity market integration," Journal of Financial Economics, Elsevier, vol. 109(3), pages 583-603.
    6. Aviat, Antonin & Coeurdacier, Nicolas, 2007. "The geography of trade in goods and asset holdings," Journal of International Economics, Elsevier, vol. 71(1), pages 22-51, March.
    7. Schmitz, Birgit & von Hagen, Jürgen, 2011. "Current account imbalances and financial integration in the euro area," Journal of International Money and Finance, Elsevier, vol. 30(8), pages 1676-1695.
    8. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    9. Lucey, Brian M. & Zhang, QiYu, 2010. "Does cultural distance matter in international stock market comovement? Evidence from emerging economies around the world," Emerging Markets Review, Elsevier, vol. 11(1), pages 62-78, March.
    10. Okawa, Yohei & van Wincoop, Eric, 2012. "Gravity in International Finance," Journal of International Economics, Elsevier, vol. 87(2), pages 205-215.
    11. Pungulescu, Crina, 2013. "Measuring financial market integration in the European Union: EU15 vs. New Member States," Emerging Markets Review, Elsevier, vol. 17(C), pages 106-124.
    12. Philip R. Lane & Sébastien Wälti, 2007. "The Euro and Financial Integration," Palgrave Macmillan Books, in: David Cobham (ed.), The Travails of the Eurozone, chapter 9, pages 208-232, Palgrave Macmillan.
    13. Daniela BUNEA, 2012. "Modern Gravity Models of Internal Migration. The Case of Romania," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(4(569)), pages 127-144, April.
    14. William Rogers, 1994. "Regression standard errors in clustered samples," Stata Technical Bulletin, StataCorp LP, vol. 3(13).
    15. Lieven Baele, 2004. "Measuring European Financial Integration," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 20(4), pages 509-530, Winter.
    16. T. S. Breusch & A. R. Pagan, 1980. "The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 47(1), pages 239-253.
    17. Thomas J Flavin & Margaret J Hurley & Fabrice Rousseau, 2002. "Explaining Stock Market Correlation: A Gravity Model Approach," Manchester School, University of Manchester, vol. 70(S1), pages 87-106.
    18. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    19. repec:ahe:dtaehe:1505 is not listed on IDEAS
    20. Hausman, Jerry, 2015. "Specification tests in econometrics," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 38(2), pages 112-134.
    21. repec:hal:wpspec:info:hdl:2441/c8dmi8nm4pdjkuc9g708pipbp is not listed on IDEAS
    22. Beck, Nathaniel & Katz, Jonathan N., 1995. "What To Do (and Not to Do) with Time-Series Cross-Section Data," American Political Science Review, Cambridge University Press, vol. 89(3), pages 634-647, September.
    23. John C. Driscoll & Aart C. Kraay, 1998. "Consistent Covariance Matrix Estimation With Spatially Dependent Panel Data," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 549-560, November.
    24. Bracker, Kevin & Koch, Paul D., 1999. "Economic determinants of the correlation structure across international equity markets," Journal of Economics and Business, Elsevier, vol. 51(6), pages 443-471.
    25. Baker, Malcolm & Wurgler, Jeffrey & Yuan, Yu, 2012. "Global, local, and contagious investor sentiment," Journal of Financial Economics, Elsevier, vol. 104(2), pages 272-287.
    26. Devereux, Michael B. & Sutherland, Alan, 2011. "Evaluating international financial integration under leverage constraints," European Economic Review, Elsevier, vol. 55(3), pages 427-442, April.
    27. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
    28. Vo, Xuan Vinh & Daly, Kevin James, 2007. "The determinants of international financial integration," Global Finance Journal, Elsevier, vol. 18(2), pages 228-250.
    29. Lieven Baele & Annalisa Ferrando & Peter Hördahl & Elizaveta Krylova & Cyril Monnet, 2004. "Measuring financial integration in the euro area," Occasional Paper Series 14, European Central Bank.
    30. Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002. "Unit root tests in panel data: asymptotic and finite-sample properties," Journal of Econometrics, Elsevier, vol. 108(1), pages 1-24, May.
    31. repec:bla:manchs:v:70:y:2002:i:0:p:87-106 is not listed on IDEAS
    32. Wälti, Sébastien, 2011. "Stock market synchronization and monetary integration," Journal of International Money and Finance, Elsevier, vol. 30(1), pages 96-110, February.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Faruk Balli & Syed Basher & Rosmy Jean Louis, 2012. "Channels of risk-sharing among Canadian provinces: 1961–2006," Empirical Economics, Springer, vol. 43(2), pages 763-787, October.
    2. Cristiana Tudor & Robert Sova, 2021. "On the Impact of GDP per Capita, Carbon Intensity and Innovation for Renewable Energy Consumption: Worldwide Evidence," Energies, MDPI, vol. 14(19), pages 1-25, October.
    3. Kassi, Diby François & Sun, Gang & Ding, Ning & Rathnayake, Dilesha Nawadali & Assamoi, Guy Roland, 2019. "Asymmetry in exchange rate pass-through to consumer prices: Evidence from emerging and developing Asian countries," Economic Analysis and Policy, Elsevier, vol. 62(C), pages 357-372.
    4. Sander, Harald & Kleimeier, Stefanie & Heuchemer, Sylvia, 2016. "The resurgence of cultural borders during the financial crisis: The changing geography of Eurozone cross-border depositing," Journal of Financial Stability, Elsevier, vol. 24(C), pages 12-26.
    5. Diby François Kassi & Dilesha Nawadali Rathnayake & Pierre Axel Louembe & Ning Ding, 2019. "Market Risk and Financial Performance of Non-Financial Companies Listed on the Moroccan Stock Exchange," Risks, MDPI, vol. 7(1), pages 1-29, February.
    6. Balli, Faruk & Basher, Syed Abul & Rana, Faisal, 2014. "The determinants of the volatility of returns on cross-border asset holdings," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 1-23.
    7. Zhang, Chuanguo & Zhou, Xiangxue, 2016. "Does foreign direct investment lead to lower CO2 emissions? Evidence from a regional analysis in China," Renewable and Sustainable Energy Reviews, Elsevier, vol. 58(C), pages 943-951.
    8. Eduard Baumöhl & Štefan Lyócsa, 2014. "Risk-Return Convergence in CEE Stock Markets: Structural Breaks and Market Volatility," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 64(5), pages 352-373, November.
    9. Christian A. Vossler, 2013. "Analyzing repeated-game economics experiments: robust standard errors for panel data with serial correlation," Chapters, in: John A. List & Michael K. Price (ed.), Handbook on Experimental Economics and the Environment, chapter 3, pages 89-112, Edward Elgar Publishing.
    10. Daniel Hoechle, 2007. "Robust standard errors for panel regressions with cross-sectional dependence," Stata Journal, StataCorp LP, vol. 7(3), pages 281-312, September.
    11. Smimou, K. & Khallouli, W., 2015. "Does the Euro affect the dynamic relation between stock market liquidity and the business cycle?," Emerging Markets Review, Elsevier, vol. 25(C), pages 125-153.
    12. Nola Agha, 2013. "The Economic Impact of Stadiums and Teams," Journal of Sports Economics, , vol. 14(3), pages 227-252, June.
    13. Mitch Kunce, 2023. "Unemployment and Suicide in the United States: The Import of Addressing Cross-Sectional Dependence," Bulletin of Applied Economics, Risk Market Journals, vol. 10(1), pages 1-19.
    14. Issam Khelfaoui & Yuantao Xie & Muhammad Hafeez & Danish Ahmed & Houssem Eddine Degha & Hicham Meskher, 2022. "Information Communication Technology and Infant Mortality in Low-Income Countries: Empirical Study Using Panel Data Models," IJERPH, MDPI, vol. 19(12), pages 1-24, June.
    15. Lathaporn Ratanavararak, 2018. "The Impact of Imperfect Financial Integration and Trade on Macroeconomic Volatility and Welfare in Emerging Markets," PIER Discussion Papers 79, Puey Ungphakorn Institute for Economic Research.
    16. Zhang, Chuanguo & Zhao, Wei, 2014. "Panel estimation for income inequality and CO2 emissions: A regional analysis in China," Applied Energy, Elsevier, vol. 136(C), pages 382-392.
    17. Ian Schaeffer & Miguel D. Ramirez, 2017. "Is there a Long-Term Relationship among European Sovereign Bond Yields?," Business and Economic Research, Macrothink Institute, vol. 7(1), pages 68-86, June.
    18. Vajanne, Laura, 2007. "Integration in euro area retail banking markets: convergence of credit interest rates," Bank of Finland Research Discussion Papers 27/2007, Bank of Finland.
    19. Olaoye, Olumide O. & Eluwole, Oluwatosin O. & Ayesha, Aziz & Afolabi, Olugbenga O., 2020. "Government spending and economic growth in ECOWAS: An asymmetric analysis," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).

    More about this item

    Keywords

    financial integration; European Union; Romania; gravity model; stock markets;
    All these keywords.

    JEL classification:

    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • F30 - International Economics - - International Finance - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:aes:amfeco:v:42:y:2016:i:18:p:269. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Valentin Dumitru (email available below). General contact details of provider: https://edirc.repec.org/data/aseeero.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.