Zlatuse Komarkova

Integration of Chinese and Russian stock markets with world markets: National and sectoral perspectives

Interest in examining the financial linkages of economies has increased in the wake of the 2008/2009 global financial crisis. Applying the concepts of beta- and sigma-convergence of stock market returns, we assess changes over time in the degree of stock market integration between Russia and China as well as between them and the United States, the euro area and Japan. Our analysis is based on national and sectoral data spanning the period September 1995 to October 2010. Overall, we find evidence for gradually increasing stock market integration after the 1997 Asian financial crisis and the 1998 Russian financial crisis. Following a major disruption caused by the 2008/2009 global financial crisis, the process of stock market integration resumes between Russia and China, and with world markets. Notably, the episode of sigma-divergence from the 2008/2009 crisis is stronger for China than Russia. We also find that the process of stock market integration and the impact of the recent crisis have not been uniform at the sectoral level, suggesting potential for diversification of risk across sectors.

Financial Integration at Times of Crisis and Recovery

Abstract The global financial crisis of 2007/2008 interrupted the process of financial integration observed in the European Union since the beginning of the 2000s. This paper empirically analyzes whether financial integration resumed, focusing on the period 2002–2015 and employing the indicators of the speed and the level of integration. The analysis covers four financial markets (the money, foreign exchange, bond, and equity markets) of the selected inflation-targeting Central European economies (the Czech Republic, Hungary, and Poland), representatives of new euro area countries (Slovenia and Slovakia) and the selected advanced Western European economies (Austria, Germany, Portugal) with the euro area. The results reveal that the global financial crisis caused mainly a temporary price divergence of the financial markets in the analyzed countries vis-a-vis the euro area. By 2015 the situation on the financial markets returned gradually to the pre-crisis degree of integration with the euro area for most of the countries and markets; however, there are signs of fragmentation on the government bond markets.