EconPapers    
Economics at your fingertips  
 

Time-Varying Bond Market Integration in EMU

Priyanshi Gupta (), Sanjay Sehgal () and Florent Deisting ()
Additional contact information
Priyanshi Gupta: University of Delhi, Postal: Department of Financial Studies, University of Delhi, South Campus, Benito Juarez Road, New Delhi, 110021, India
Sanjay Sehgal: University of Delhi, Postal: Department of Financial Studies, University of Delhi, South Campus, Benito Juarez Road,, New Delhi, 110021, India

Journal of Economic Integration, 2015, vol. 30, issue 4, 708-760

Abstract: We examine the level and progress of bond market integration amongst the eleven Economic and Monetary Union countries with active bond markets, over normal and crisis periods. The study covers data from January 2002 up to March 2014. We employ seven indicators for assessing integration, namely beta convergence, sigma convergence, variance ratio, Asymmetric Dynamic Conditional Correlation, dynamic co-integration, market synchronisation, and common factors approach. The results suggest that there is no heterogeneity in the integration process of large-sized economies and medium-sized economies, thereby restricting portfolio diversification potential. Further, bond market integration in the Economic and Monetary Union deteriorated during the crisis period, especially during the European debt crisis, with the economies of Greece, Ireland, Italy, Portugal, and Spain being the worst affected. We observe that bond markets take a lead in information linkages vis-à-vis stock markets, and hence should get precedence in policy intervention relating to market integration, development, and crisis management.

Keywords: Bond Market Linkages; EMU Countries; Global Financial Crisis; European Debt Crisis; Time-varying Financial Integration (search for similar items in EconPapers)
JEL-codes: C22 E44 F36 G14 G15 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
http://www.e-jei.org/ Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ris:integr:0674

Access Statistics for this article

Journal of Economic Integration is currently edited by Jong-Eun Lee

More articles in Journal of Economic Integration from Center for Economic Integration, Sejong University Contact information at EDIRC.
Bibliographic data for series maintained by Jong-Eun Lee ().

 
Page updated 2019-09-25
Handle: RePEc:ris:integr:0674