Recent changes in major European stock market linkages.

Kohers, Gerald ; Kohers, Ninon ; Kohers, Theodor 等

ABSTRACT

The gradual lifting of restrictions on capital movements and the relaxation of exchange controls in recent years have led to a substantial increase in international stock market activities. Due to several recent developments, many experts suggest that stock markets have moved toward a far greater degree of global integration, which has led to a renewed interest in the efficiency of international financial markets. This paper examines the extent to which the linkages of the twelve largest European stock markets have changed over the last decade. The findings suggest the presence of distinct systematic relationships among these stock markets. Such relationships, typical of the existence of overall market efficiency, make it more difficult for investors to generate abnormal rates of return in these markets.

INTRODUCTION

Recent developments in financial market deregulation, the gradual lifting of restrictions on capital movements, the relaxation of exchange controls, major progress in computer technology and telecommunications, as well as a significant increase in the cross-listings of multinational company stocks have led to a substantial increase in international stock market activities. Also, more recent improvements in communication and computer technology not only have made the flow of international information cheaper and more reliable, but also have lowered the cost of international financial transactions. In addition, greater coordination in trade and capital flows policies among the industrialized nations may have contributed to more similar economic conditions and developments in these countries, which would be reflected in their respective stock markets. Largely as a result of these developments, many experts suggest that, especially in recent years, stock markets have moved toward a far greater degree of global integration which has led to a renewed interest in the efficiency of foreign financial markets. Since market efficiency requires stock prices to react quickly not only to information pertaining to the domestic economy, but also to international conditions as well, systematic relationships among stock markets in different countries should exist as long as financial markets respond efficiently to external forces.

Most research on global market efficiency has dealt with the systematic movements of stock prices, the lead-lag relationship among market indices, and the benefits of diversification (for examples, see Chan et al, 1997; Yang et al.,.2003; Agmon, 1972; Grubel and Fadner, 1968; Haney and Lloyd, 1978; Maldonado and Saunders, 1981; Panton et al., 1976; Stehle, 1977; and Watson, 1978). Several studies (e.g., Bessler and Yang, 2003, Sakar and Li, 2002; Hilliard, 1970; Panton et al. 1976; Ripley, 1973; and Robichek et al., 1972) examined the degree of association among global exchanges. Panton et al. (1976) conclude that there is some stability and structure in international markets, with some markets displaying a high degree of stability. Ripley (1973) on the other hand, reports that more than 50 percent of the movements in typical developed countries' indices is unique to the specific country. Also, Robichek et al. (1972) found a lack of a significant correlation between the stock returns of some countries.

Examining inter-country correlation coefficients over one-year, two-year, and four-year subperiods, Watson (1980) observed that, in general, inter-country correlation coefficients do not change significantly from one period to the other. The results of the above mentioned studies suggest that, for many countries, stock price movements have some correlation, but that most of the movements appear to be unique to a country.

Attempts by Agmon (1972) and Branch (1974) to detect lead-lag relationships among stock markets around the world led to the general conclusion that there is little or no interrelationship between different stock exchanges. Also, Schollhammer and Sand (1985) report that for the four largest stock markets in Europe (i.e., the United Kingdom, Germany, Switzerland, and France), no discernible patterns exist in aggregate stock price changes. For Italy and the Netherlands, however, stock price movements were found to deviate from a random walk process. Schollhammer and Sand suggest that the relative small size of these stock markets and the infrequent trading of many stocks constituting their respective national stock index may be possible reasons for those market inefficiencies. Nevertheless, these and other researchers do acknowledge the existence of some relationship between certain exchanges.

The informational efficiency of the United Kingdom, the United States, Canadian, and Japanese equity markets was examined by Kamarotou and O'Hanlon (1989). Although the results for three of these markets showed some resemblance, the United Kingdom pattern was opposite that of the other three.

Investigating the intercorrelation between Japanese and U.S. stock markets, Becker et al. (1990), observed that the S&P 500 returns during the previous day explain from 7 to 25 percent of the fluctuations in the Nikkei Index returns the next day. These results suggest that the U.S. market has a pronounced impact on the Japanese market, while, according to Eun and Resnick (1984), the opposite does not appear to be the case. However, any abnormal returns in Japan disappeared once transaction costs and transfer taxes were considered.

The possible benefits of international diversification were investigated in several studies (Adler and Dumas, 1975; Grubel, 1971; Lessard, 1976; Levy and Sarnat, 1970; Solnik, 1974; and Stehle, 1977). The findings generally suggest that international diversification can reduce risk. For example, Solnik (1974) reports that the advantages of international diversification are reduced due to the possible imposition of exchange controls but that the risk of a portfolio protected against exchange risk is lower than that of an unhedged portfolio. He also concluded that multinational portfolios that outperformed any portfolio which relied solely on securities from one country could be constructed.

Other studies examining international stock market relationships in the 1980s include those by Eun and Shim (1989), Fisher and Palasvirta (1990), Hamao et al. (1990), and King and Wadhwani (1990). These studies identified consistent short-run relationships in stock prices among countries, with the U.S. leading other major stock markets.

While the results of the previous studies are useful for the conditions that prevailed during the time periods examined, none of the above studies provides a comprehensive and current examination of all the major European stock markets. With the evolution of the European Union and the significant growth and development in some of Europe's financial markets, a study of the linkages among the European stock markets is timely and relevant. To address this issue, this research investigates the co-movements over the last 25 years of the European stock indexes for which reliable information is available on a consistent basis. As such, this paper contributes to the existing literature by providing new evidence on the benefits of international diversification and the consistency of relationships between and among major European equity markets.

According to finance theory, a portfolio that is internationally diversified potentially contains less risk as compared to a purely domestic portfolio. However, the degree to which risk is reduced through diversification depends on the level of correlation of the securities in the portfolio. Clearly, the less international markets are correlated with each other, the greater the benefits of international diversification in the form of risk reduction.

Specifically, the purpose of this paper is to examine the possible relationships between and among the national stock indices representing the twelve European countries of Austria, Belgium, Denmark, France, Germany, Italy, the Netherlands, Norway, Spain, Sweden, Switzerland, and the United Kingdom. Also, these indices are compared with the "MSCI World Index" (representing over 93 percent of the world's stock markets) as compiled by Morgan Stanley Capital International Perspective (MSCI) of Geneva, Switzerland. Weekly data, starting with the first week of January 1980, and extending through the last week of June 2004, are used to test for any possible co-movements among these indices. Also, charts are used to compare the performance of the indices over the time spans examined. The information generated in this paper provides evidence on the changing relationship among the European stock markets. In the paper, some of the implications for financial market efficiency and international diversification are also discussed. The findings clearly reveal that while the trend toward greater integration of international financial markets continues, enough diversity still exists for investors to reap potentially significant benefits in the form of portfolio risk reduction.

DATA AND METHODOLOGY

The sample used in this research consists of the weekly national stock indices of the twelve European countries of Austria, Belgium, Denmark, France, Germany, Italy, the Netherlands, Norway, Spain, Sweden, Switzerland, and the United Kingdom. Wednesdays' closing prices are used to determine the weekly returns. For comparison purposes, the MSCI World Index, measuring the market-weighted performance of securities listed on the stock exchanges of Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom, and the United States, is also included. These indices represent stock markets worldwide for which data was available on a consistent and reliable basis. The combined market capitalization of the companies that comprise the indices represents approximately 60 percent of the aggregate market value of the various national stock exchanges. Since these national indices are constructed on the basis of the same design principles and are adjusted by the same formulas, they are fully comparable with one another.

The above mentioned indices, representing market-weighted price averages without dividends reinvested, were retrieved from Morgan Stanley Capital International Perspective of Geneva, Switzerland. The Morgan Stanley Capital International indices are considered performance measurement benchmarks for global stock markets and are accepted benchmarks used by global portfolio managers. Each one of the country indices is composed of stocks that broadly represent the stock compositions in the different countries. The overall period examined in this study extends from the first week of January 1980 through the last week of June 2004. After examining the indices' annual correlations for noticeable changes over time, two subperiods were identified. The first subperiod extends from the first week of January 1980 through the last week of December 1994, and the second subperiod is from January 1995 through the last week of June 2004.

While the movements of the various national indices in terms of their local currency may have some informational value, clearly, the indices must be measured in terms of a common currency in order to be directly comparable. A comparison of U.S. stock prices in dollars with British stock prices in pound sterling is similar to a comparison of the movements of the price of oranges in dollars and pound sterling (for details, see Dwyer and Hafer, 1988). In addition, Becker et al. (1990) also report that the correlation for common currency returns are lower than the correlation for local currency returns between the U.S. and Japanese stock markets. Thus, as mentioned earlier, the risk of a portfolio protected against exchange rate fluctuations is lower than that of an unhedged portfolio. Hence, the conversion of international indices to a common currency is the standard procedure used in the literature for measuring global integration.

Initially, descriptive statistics for each of the twelve European stock markets as well as the MSCI World Index are generated. Specifically, the weekly percentage returns, based on each stock market's conversion into U.S. dollars, are determined. The data generated in this fashion are then used to calculate the respective mean weekly percentage returns, their standard deviations, and the skewness and kurtosis for each market and period. Charts are prepared to show each stock market's weekly return and standard deviation graphically by overall period and subperiods.

Second, in order to reveal any possible relationships among the changes in the stock indices over time, this study determines their respective simple correlations. To accomplish this task, initially, the weekly returns for each country index are calculated. These weekly returns are used to determine the correlation between different countries' stock returns by year and subperiod.

EMPIRICAL RESULTS

Table 1 reports the descriptive statistics of the weekly returns by stock market and period. For the overall period (January 1980-June 2004), each country's stock market produced positive returns with widely varying values. Specifically, the mean weekly returns range from a high of 0.3317 percent for Sweden to a low of 0.1622 percent for Norway, while the standard deviation varied from a low of 2.5065 for Switzerland to a high of 3.5062 for Sweden. It is of interest to note that, consistent with risk/reward logic, Sweden experienced the largest standard deviation, and the highest rate of return. On the other hand, Norway had one of the highest standard deviations with the lowest rate of return, while Denmark had one of the lowest standard deviations with one of the highest rates of return. The standard deviation for the MSCI World Index is significantly smaller compared to the standard deviations of the individual indices. This outcome is due to the fact that this index is essentially a portfolio consisting of the individual country indices. Thus, many of the return fluctuations occurring in the individual countries offset each other.

As could be expected, the stock markets' weekly returns and their respective standard deviations varied considerably over the two subperiods examined. One notable observation revealed in Table 1 is that, with the exception of two markets, Subperiod #1 generated higher returns as compared to the more recent period. The two exceptions are Spain, which generated a 0.288 percent weekly return during the January 1995-June 2004 period as compared to 0.1585 percent during Subperiod #1, and Switzerland, where the weekly returns during the two subperiods were nearly identical (i.e., 0.2169 versus 0.2190 percent). Furthermore, reflecting the performance of all global developed stock markets, the returns on the MSCI World Index were significantly higher during the first subperiod as compared to the more recent time.

An examination of the distributional characteristics of the weekly returns reveals that the vast majority of stock market returns are skewed to the left (see negative skewness values). This observation is quite consistent across all subperiods. Finally, checking on the degree of peakedness of the distributions reveals that for the overall period examined, the frequency of weekly return observations close to the respective stock market mean return is low and the frequency of observations farther from the mean is high.

The correlations of the weekly returns on the country stock price indices for the overall period and the two subperiods are reported in Table 2. For the period from 1980-6/2004, the findings suggest that the correlation for some European countries is much higher compared to others. For example, Austria consistently showed the lowest correlation with other European markets (typically ranging between 0.2 and 0.3). Other countries with relatively low correlations include Norway, Denmark, Italy, and Spain. In contrast, the linkages for some of the largest European markets is much higher. For example, France, Germany, Switzerland, the Netherlands, and the U. K. show relatively high correlations with other European markets.

An examination of the weekly rates of return by individual years suggests that the correlations among countries remained relatively steady from 1980 through 1994. However, thereafter, it increased somewhat. The increased linkages among markets becomes apparent when the two time frames are compared. Without a single exception, the correlations during the 1995-6/2004 period were higher as compared to the earlier period 1980-1994. For most countries, the increase in correlation amounted to more than 50 percent.

An increase in the correlation coefficients among the different countries suggests that national stock indexes have become more linked. The development of the European Union and the economic standards imposed on EU members may have contributed to this increase in the linkages among European stock markets in the more recent time period. However, these results still imply the possibility of some risk reduction and profit potential from international diversification, since the average correlations are far from perfectly positive. These findings are also consistent with the results of previous studies (e.g., Levy and Sarnat, 1970; and Solnik, 1974). Furthermore, Cho et al. (1986) tested Solnik's International Asset Pricing Model and concluded that some mild market segmentation exists. Thus, even though European stock markets have become more integrated overall, the evidence here shows that enough cross-country heterogeneity still exists for investors to benefit from diversification beyond country boundaries.

SUMMARY AND CONCLUSION

This paper's primary contribution to the existing literature consists of the updated evidence generated on the benefits of international portfolio diversification and the consistency of the relationships among international equity markets over time. Specifically, this research examined the extent to which the linkages among the major European stock markets have changed in recent years. Based on the evidence from the last 25 years, the following conclusions can be drawn.

The stock markets in the twelve European countries examined in this study exhibited movements mostly in the same direction, although the magnitude of the movements tended to vary by index, especially after 1994. This paper also documents that overall relationships between and among various European indices do remain relatively stable over time, although the magnitude of the swings did change. These findings are consistent with those of previous studies.

The correlations between and among the major European indices were mixed. On average, the larger markets were highly correlated with others, while the smaller European indices showed much less linkage to the others. Since, on average, the correlation coefficients were far from perfectly positive, these findings imply the opportunity for potential benefits through international diversification, as was also suggested in previous studies.

In conclusion, the evidence generated in this paper supports the claim that a reasonable degree of linkage exists among the major European stock market indices. In fact, these linkages have noticeably increased in recent years, probably due in part to developments such as the European Union. Such characteristics, typical of the existence of overall market efficiency, make it more difficult for investors to earn more than a normal rate of return in these markets. Nevertheless, since European financial markets are not fully integrated, but do exhibit forms of mild segmentation, international diversification is still quite feasible and desirable for investors wishing to reduce portfolio risk.

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Gerald Kohers, Sam Houston State University Ninon Kohers, University of South Florida Theodor Kohers, Mississippi State University

Table 1: Descriptive Statistics of the Weekly Returns of Major
European Stock Markets January 1980-June 2004, and Subperiods

 Overall Period:

 Jan. 1980-June 2004

 Mean
 Country Weekly s: Skew. Kurt.:
 Index: Return: :

Austria 0.1698 2.872 0.236 3.338
Belgium 0.1837 2.740 -0.045 3.210
Denmark 0.2434 2.647 -0.125 1.379
France 0.2123 2.992 -0.374 2.756
Germany 0.1984 2.990 -0.256 2.084
Italy 0.2388 3.456 -0.118 1.220
Netherld. 0.2145 2.669 -0.215 3.930
Norway 0.1622 3.268 -0.226 2.445
Spain 0.2088 3.123 -0.173 1.369
Sweden 0.3317 3.506 -0.221 2.273
Switzrld. 0.2177 2.507 -0.286 2.269
U. K. 0.1952 2.589 -0.117 2.524
MSCI World 0.1848 1.981 -0.348 3.077

 Subperiod #1:

 Jan. 1980-Dec. 1994

 Mean
 Country Weekly s: Skew.: Kurt:.
 Index: Return:

Austria 0.2030 3.0820 0.4750 3.6100
Belgium 0.2054 2.5700 0.1090 1.2960
Denmark 0.2531 2.7110 0.0220 0.7710
France 0.2203 2.9820 -0.5680 2.7590
Germany 0.2162 2.7780 -0.2420 1.2640
Italy 0.2672 3.6350 -0.1040 1.1750
Netherld. 0.2566 2.4150 0.0820 2.3330
Norway 0.1785 3.4580 -0.1310 1.8930
Spain 0.1585 3.1030 0.0010 1.5450
Sweden 0.3529 3.1370 -0.1570 1.2290
Switzrld. 0.2169 2.4290 -0.3420 2.1920
U. K. 0.2330 2.7580 -0.2140 2.2840
MSCI World 0.2171 1.8870 -0.6020 4.3850

 Subperiod #2:

 Jan. 1995-June 2004

 Mean
 Country Weekly s: Skew.: Kurt.:
 Index: Return:

Austria 0.1174 2.508 -0.510 1.288
Belgium 0.1494 2.990 -0.190 4.631
Denmark 0.2282 2.545 -0.410 2.589
France 0.1997 3.010 -0.076 2.799
Germany 0.1704 3.300 -0.257 2.497
Italy 0.1939 3.156 -0.163 1.097
Netherld. 0.1481 3.028 -0.422 4.394
Norway 0.1365 2.948 -0.475 3.667
Spain 0.2880 3.157 -0.435 1.178
Sweden 0.2982 4.023 -0.251 2.407
Switzrld. 0.2190 2.267 -0.216 2.323
U. K. 0.1355 2.298 0.115 2.758
MSCI World 0.1339 2.123 -0.049 1.698

NOTE: Weekly returns are in U.S. dollars.

Table 2: Changes in Correlations in Weekly Stock
Market Returns Among Major European Markets
January 1980--June 2004, and Subperiods

Spearman Correlation Coefficients:

Index: Austria Belgium Denmk.

Belgium
1980-6/04 .337
1980-94 .306
1985-6/04 .493

Denmark
1980-6/04 .271 .482
1980-94 .24 .439
1985-6/04 .401 .551

France
1980-6/04 .324 .619 .478
1980-94 .320 .551 .421
1985-6/04 .387 .715 .574

Germany
1980-6/04 .364 .609 .508
1980-94 .378 .518 .454
1985-6/04 .416 .713 .593

Italy
1980-6/04 .243 .415 .374
1980-94 .216 .321 .318
1985-6/04 .358 .572 .481

Netherl.
1980-6/04 .282 .647 .498
1980-94 .261 .522 .449
1985-6/04 .405 .782 .577

Norway
1980-6/04 .268 .426 .385
1980-94 .232 .425 .331
1985-6/04 .418 .442 .493

Spain
1980-6/04 .282 .516 .440
1980-94 .245 .430 .364
1985-6/04 .438 .634 .566

Sweden
1980-6/04 .230 .434 .405
1980-94 .216 .347 .319
1985-6/04 .326 .526 .528

Switzerl.
1980-6/04 .355 .623 .501
1980-94 .351 .539 .494
1985-6/04 .436 .729 .515

U. K.
1980-6/04 .239 .541 .445
1980-94 .222 .474 .406
1985-6/04 .318 .67 .527

Index: France Germany Italy

Belgium
1980-6/04
1980-94
1985-6/04

Denmark
1980-6/04
1980-94
1985-6/04

France
1980-6/04
1980-94
1985-6/04

Germany
1980-6/04 .666
1980-94 .554
1985-6/04 .819

Italy
1980-6/04 .493 .494
1980-94 .360 .373
1985-6/04 .735 .692

Netherl.
1980-6/04 .661 .700 .465
1980-94 .530 .599 .344
1985-6/04 .833 .807 .659

Norway
1980-6/04 .457 .459 .318
1980-94 .430 .433 .250
1985-6/04 .511 .514 .464

Spain
1980-6/04 .579 .580 .480
1980-94 .466 .446 .366
1985-6/04 .755 .760 .690

Sweden
1980-6/04 .527 .583 .410
1980-94 .357 .443 .293
1985-6/04 .741 .729 .594

Switzerl.
1980-6/04 .631 .719 .445
1980-94 .562 .708 .363
1985-6/04 .730 .734 .588

U. K.
1980-6/04 .575 .534 .451
1980-94 .480 .443 .374
1985-6/04 .759 .699 .620

Index: Netherl. Norway Spain

Belgium
1980-6/04
1980-94
1985-6/04

Denmark
1980-6/04
1980-94
1985-6/04

France
1980-6/04
1980-94
1985-6/04

Germany
1980-6/04
1980-94
1985-6/04

Italy
1980-6/04
1980-94
1985-6/04

Netherl.
1980-6/04
1980-94
1985-6/04

Norway
1980-6/04 .533
1980-94 .532
1985-6/04 .558

Spain
1980-6/04 .532 .411
1980-94 .382 .343
1985-6/04 .725 .542

Sweden
1980-6/04 .523 .449 .495
1980-94 .369 .417 .350
1985-6/04 .675 .518 .679

Switzerl.
1980-6/04 .688 .474 .544
1980-94 .628 .477 .467
1985-6/04 .762 .478 .655

U. K.
1980-6/04 .676 .462 .490
1980-94 .633 .453 .407
1985-6/04 .776 .481 .653

Index: Sweden Switz.

Belgium
1980-6/04
1980-94
1985-6/04

Denmark
1980-6/04
1980-94
1985-6/04

France
1980-6/04
1980-94
1985-6/04

Germany
1980-6/04
1980-94
1985-6/04

Italy
1980-6/04
1980-94
1985-6/04

Netherl.
1980-6/04
1980-94
1985-6/04

Norway
1980-6/04
1980-94
1985-6/04

Spain
1980-6/04
1980-94
1985-6/04

Sweden
1980-6/04
1980-94
1985-6/04

Switzerl.
1980-6/04 .524
1980-94 .462
1985-6/04 .598

U. K.
1980-6/04 .466 .572
1980-94 .355 .521
1985-6/04 .656 .674