Does Stock Market Consolidation Drive Stock Market Integration? Evidence in Worldwide Perspective
This paper examines the impact of stock market consolidation on the degree of stock market integration using 20
stock markets in 19 countries that went under six stock market consolidations during the year 2000-2016. First, I apply the
bivariate DCC-MGARCH model to measure the dynamic conditional correlation between the stock markets within the
consolidation group. Then, the panel fix effect model is used to investigate the determinant of the stock market integration.
The result suggests that the stock market consolidation, US financial Crisis and EU debt Crisis significantly increase the
stock market integration while the market development differential, dividend yield differential and inflation differential
significantly decrease the stock market integration.
Keywords- Stock Market Consolidation; Stock Market Integration; DCC-MGARCH model