EconPapers    
Economics at your fingertips  
 

Financial Market Integration Over the Long Run: Is there a U-shape?

Vadym Volosovych ()

No 5001, Working Papers from Department of Economics, College of Business, Florida Atlantic University

Abstract: I show that the principal components analysis can be used to quantify the degree of economic integration, trace its evolution over time, and capture episodes of market segmentation. Based on long series of sovereign bond data for fifteen industrialized economies I document clear evidence of higher financial markets integration at the end of the 20th century compared to the earlier periods (J -shaped trend with a trough as early as the 1920s). Countries’ sovereign bond markets were much more segmented prior to World War I than in the following periods.

Keywords: financial markets integration; principal components; sovereign bonds (search for similar items in EconPapers)
JEL-codes: F02 F33 F36 G15 N2 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2005-07, Revised 2007-02
New Economics Papers: this item is included in nep-his
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed

Downloads: (external link)
http://www.fau.edu/~vvolosov/Research/Volosovych_U-shape_20070130.pdf New version, 2007 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden (http://www.fau.edu/~vvolosov/Research/Volosovych_U-shape_20070130.pdf [302 Found]--> https://www.fau.edu/~vvolosov/Research/Volosovych_U-shape_20070130.pdf [302 Found]--> http://wise.fau.edu/~vvolosov/Research/Volosovych_U-shape_20070130.pdf [302 Found]--> https://wise.fau.edu/~vvolosov/Research/Volosovych_U-shape_20070130.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:fal:wpaper:05001

Access Statistics for this paper

More papers in Working Papers from Department of Economics, College of Business, Florida Atlantic University Contact information at EDIRC.
Bibliographic data for series maintained by Vadym Volosovych ( this e-mail address is bad, please contact ).

 
Page updated 2022-10-02
Handle: RePEc:fal:wpaper:05001