国际证券市场一体化的因素分析
A la Recherche des Facteurs Déterminants de l'Intégration Internationale des Marchés Boursiers : une Analyse sur Données de Panel
摘要：
本文的目的是确定国际股票市场一体化的决定因素。直觉上，我们选择了大量与金融一体化相关的因素。在此基础上，建立了一个具有时变集成度的国际资产定价模型。这一模型是使用面板数据计量经济学对30个国家（10个发达国家和20个新兴国家）进行估计的。为了研究新兴市场和发达市场的金融一体化对经济和金融创新的反应是否不同，我们对所有市场的模型进行了估计，并分别为发达市场和新兴市场。研究结果表明，贸易开放对所有市场的金融一体化都产生了积极的影响，全球因素推动了发达市场的金融一体化，而与经济和政治稳定相关的因素影响了新兴市场的金融一体化。
英文摘要：
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.
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