EconStor >
TÜSİAD-Koç University Economic Research Forum (ERF), Istanbul >
ERF Working Paper Series, TÜSİAD-Koç University Economic Research Forum (ERF) >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/45406
  
Title:Deep financial integration and volatility PDF Logo
Authors:Kalemli-Özcan, Sebnem
Sørensen, Bent E.
Volosovych, Vadym
Issue Date:2010
Series/Report no.:TÜSİAD-Koç University Economic Research Forum working paper series 1006 [rev.]
Abstract:We investigate the relationship between financial integration and output volatility at micro and macro levels. Using a very large firm-level dataset (AMADEUS) from 16 European countries, we construct a measure of deep financial integration at the regional level based on observations of foreign ownership at the firm-level. We find a significant positive effect of foreign ownership on the volatility of firms' outcomes in static as well as dynamic empirical frameworks. This effect survives aggregation and carries over to regional output, leading to a positive association between deep financial integration and aggregate fluctuations. To identify the causal effect of financial integration on volatility we exploit variation in the transposition dates of the European Union-wide legislative acts from the Financial Services Action Plan (FSAP). We find that high trust regions located in countries who harmonized their capital markets sooner have increased levels of financial integration and volatility.
Subjects:firm volatility
foreign ownership
regional integration
social capital
macro volatility
JEL:E32
F15
F36
O16
Document Type:Working Paper
Appears in Collections:ERF Working Paper Series, TÜSİAD-Koç University Economic Research Forum (ERF)

Files in This Item:
File Description SizeFormat
638350328.pdf665.78 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/45406

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.