scholarly journals Assessing Financial Integration in the European Union Equity Markets: Panel Unit Root and Multivariate Cointegration and Causality Evidence

2010 ◽  
Vol 25 (3) ◽  
pp. 457-479 ◽  
Author(s):  
Andrew C. Worthington ◽  
Helen Higgs
Keyword(s):  
European Union ◽  
Unit Root ◽  
Financial Integration ◽  
Equity Markets ◽  
The European Union ◽  
Panel Unit Root ◽  
Multivariate Cointegration

Unregulated Algorithmic Trading: Testing the Boundaries of the European Union Algorithmic Trading Regime

2020 ◽  
Vol 6 (2) ◽  
pp. 270-305
Author(s):  
Clara Martins Pereira
Keyword(s):  
European Union ◽  
Equity Markets ◽  
Algorithmic Trading ◽  
Market Quality ◽  
Financial Instruments ◽  
The European Union ◽  
New Type ◽  
Definition Of ◽  
The Impact ◽  
Trading Regime

Abstract Trading in modern equity markets has come to be dominated by machines and algorithms. However, there is significant concern over the impact of algorithmic trading on market quality and a number of jurisdictions have moved to address the risks associated with this new type of trading. The European Union has been no exception to this trend. This article argues that while the European Union algorithmic trading regime is often perceived as a tough response to the challenges inherent in machine trading, it has one crucial shortcoming: it does not regulate the simpler, basic execution algorithms used in automated order routers. Yet the same risk generally associated with algorithmic trading activity also arises, in particular, from the use of these basic execution algorithms—as was made evident by the trading glitch that led to the fall of United States securities trader Knight Capital in 2012. Indeed, such risk could even be amplified by the lack of sophistication of these simpler execution algorithms. It is thus proposed that the European Union should amend the objective scope of its algorithmic trading regime by expanding the definition of algorithmic trading under the Markets in Financial Instruments Directive (MiFID II) to include all execution algorithms, regardless of their complexity.

The role of house price indices in managing the integration of finance and housing markets in the European Union

2014 ◽  
Vol 7 (3) ◽  
pp. 270-294 ◽  
Author(s):  
Richard Grover ◽  
Christine Grover
Keyword(s):  
European Union ◽  
Financial Integration ◽  
House Price ◽  
Quality Data ◽  
Residential Property ◽  
The European Union ◽  
Price Indices ◽  
Content Type ◽  
Price Bubbles ◽  
Property Price

Purpose – The article aims to examine why residential property price indices (RPPI) are important, particularly in the European Union (EU) with its highly integrated financial system and examines the problems in developing a pan-European price index that aggregates the indices of different countries. Design/methodology/approach – The reasons why RPPI are important is explored through a review of the literature on residential price bubbles and the issues with the indices through studies of individual examples. Findings – Financial integration in the EU has taken place without adequate consideration having been given to diversity in residential property markets. The development of means of monitoring them has lagged behind integration with the national price indices using a variety of methods and approaches to data that limit the extent to which they can be aggregated. Originality/value – The article shows the need for better quality data about house price trends in Europe if the consequences of future bubbles are to be avoided. Current initiatives are unlikely to satisfy this, as they leave too many choices about methodology and data in the hands of individual countries.

scholarly journals IS CHINA INTEGRATED WITH HER MAJOR TRADING PARTNERS: EVIDENCE ON FINANCIAL AND REAL INTEGRATION / AR KINIJA INTEGRUOTA SU SAVO PAGRINDINIAIS PREKYBOS PARTNERIAIS: ĮRODYMŲ APIE FINANSINĘ IR REALIĄJĄ INTEGRACIJĄ PAIEŠKOS

2010 ◽  
Vol 16 (2) ◽  
pp. 173-187 ◽  
Author(s):  
Mehmet Huseyin Bilgin ◽  
Chi Keung Marco Lau ◽  
Manuela Tvaronavičienė
Keyword(s):  
Purchasing Power Parity ◽  
Unit Root ◽  
Unit Root Test ◽  
The United States ◽  
The European Union ◽  
Power Parity ◽  
Panel Unit Root Test ◽  
Cross Sectional ◽  
Panel Unit Root ◽  
Interest Parity

Applying the new panel unit root test developed in this paper, we can overcome the pitfalls of old‐fashioned panel unit root tests making it possible for researchers testing individual series for a unit root while taking contemporaneous cross‐sectional dependence and structural break into account. The proposed test was used to investigate the status of financial and real integration of China, Japan, UK, the European Union, and the United States based on the empirical validity of real interest parity, uncovered interest parity, and relative purchasing power parity. We found strong evidence in favor of those parity conditions and hence concluded that financial and real integration between China and the other four countries was well established using the new developed panel unit root test while the traditional tests (either univariate or panel) fail to do so. Santrauka Straipsnyje ieškoma rodymų apie finansinę ir realiąją integraciją tarp Kinijos bei jos tarptautinės prekybos partnerių. Autorių patobulinta ekonometrikos metodo (panel unit root test) versija leidžia ekonomistams atsižvelgti į nagrinėjamų šalių tarp šakinių ryšių bei ekonomikos struktūrų specifika. Finansinei bei realiai integracijai tarp Kinijos ir pagrindiniu jos prekybos partneriu, t. y. Japonijos, Jungtines Karalystes, Europos Sąjungos bei Jungtiniu Amerikos Valstijų, vertinti buvo naudoti tokie kintamieji, kaip nepadengtu palūkanų paritetas, palūkanų normų paritetas bei santykinis perkamosios galios paritetas. Tyrimo rezultatai patvirtino prielaida apie gana didelę minėtų paritetų svarba ir leido konstatuoti, kad Kinija yra gana stipriai finansiškai bei realiai integruota su savo pagrindinėmis prekybos partnerėmis.

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