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
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
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