Dynamics of Bond Market Integration between Established and New European Union Countries

Suk-Joong Kim (), Brian Lucey and Eliza Wu

Chapter 11 in Information Spillovers and Market Integration in International Finance:Empirical Analyses, 2018, pp 369-389 from World Scientific Publishing Co. Pte. Ltd.

Abstract: In this chapter, we examine the integration of European government bond markets using daily returns over the 1998–2003 period to assess the time-varying level of financial integration. We find evidence of strong contemporaneous and dynamic linkages between the Euro zone bond markets with that of Germany. However, there is much weaker evidence outside of the Euro zone for the three new EU markets of the Czech Republic, Hungary and Poland, and the UK. In general, the degree of integration for these markets is weak and stable, with little evidence of further deepening despite the increased political integration associated with further enlargement of the EU.

Keywords: Currency Intervention; Macroeconomic News; International Capital Flows; Sovereign Credit Rating (search for similar items in EconPapers)
JEL-codes: F30 (search for similar items in EconPapers)
Date: 2018
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789813223585_0011 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789813223585_0011 (text/html)
Ebook Access is available upon purchase.

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:wsi:wschap:9789813223585_0011

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().