全球市场整合的动力和驱动因素：区域和文化因素很重要

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2025-05-23 DOI:10.1016/j.ribaf.2025.102975

XueTing Xiang, Kian-Ping Lim, Sheue-Li Ong

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引用次数: 0

摘要

本研究使用实证增长文献中常用的两种贝叶斯方法来研究全球市场整合的动态和驱动因素。将贝叶斯动态因子模型应用于1995-2020年间47家交易所的股票指数数据，我们发现区域因素在股票收益变化中起着至关重要的作用，特别是对于较大的亚洲和欧洲市场。这挑战了通常忽视区域动态的传统市场一体化措施。我们对全球市场一体化的时变测量表明，在考虑区域因素时，新兴市场的一体化水平出乎意料地高于发达市场。为了确定整合的稳健驱动因素，我们采用工具变量贝叶斯模型平均，解决了模型的不确定性和内生性。文化成为最具影响力的决定因素，解释了82.80 %的全球市场整合差异。这些发现强调了文化维度在塑造市场对全球因素的反应中的重要性。

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The dynamics and drivers of global market integration: Regional and cultural factors matter

This study investigates the dynamics and drivers of global market integration using two Bayesian approaches that are commonly utilized in empirical growth literature. Applying a Bayesian Dynamic Factor Model to stock index data from 47 exchanges spanning 1995–2020, we find that regional factors play a crucial role in stock return variations, particularly for larger Asian and European markets. This challenges conventional measures of market integration that often overlook regional dynamics. Our time-varying measure of global market integration reveals that emerging markets exhibit unexpectedly higher levels of integration than developed markets when accounting for regional factors. To identify robust drivers of integration, we employ Instrumental Variable Bayesian Model Averaging, which addresses model uncertainty and endogeneity. Culture emerges as the most influential determinant, explaining 82.80 % of the variance in global market integration. These findings underscore the importance of cultural dimensions in shaping market reactions to global factors.

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来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance