Two centuries of global financial market integration: Equities, government bonds, treasury bills, and currencies

Adam Zaremba (), George D. Kambouris and Andreas Karathanasopoulos

Economics Letters, 2019, vol. 182, issue C, 26-29

Abstract: We perform the longest and broadest study of time variation in global financial market integration ever conducted. Using a unique comprehensive dataset, we examine returns on equities, government bonds, treasury bills, and currencies in 83 countries through a period of almost two centuries. The study discloses that the integration progresses in peaks and troughs instead of linearly. Although the post-2000 markets exhibit the strongest integration in history, certain asset classes in 1860 and 1930 recorded comparable levels. The high degree of current integration is a result of the surge that commenced as recently as 1970, rather than a consequence of a multi-century gradual process.

Keywords: Financial market integration; Global markets; Factor analysis; Early asset data (search for similar items in EconPapers)
JEL-codes: F15 F36 G15 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:182:y:2019:i:c:p:26-29

DOI: 10.1016/j.econlet.2019.05.043

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