Dynamics of bond market integration between established and accession European Union countries

Kim, S; Lucey, BM; Wu, E

Dynamics of bond market integration between established and accession European Union countries

Kim, S Lucey, BM Wu, E

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Publisher:: Elsevier
Publication Type:: Journal Article
Citation:: Journal of International Financial Markets, Institutions and Money, 2006, 16 (1), pp. 41 - 56
Issue Date:: 2006-01

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Field	Value	Language
dc.contributor.author	Kim, S	en_US
dc.contributor.author	Lucey, BM	en_US
dc.contributor.author	Wu, E	en_US
dc.date.issued	2006-01	en_US
dc.identifier.citation	Journal of International Financial Markets, Institutions and Money, 2006, 16 (1), pp. 41 - 56	en_US
dc.identifier.issn	1042-4431	en_US
dc.identifier.uri	http://hdl.handle.net/10453/15760
dc.description.abstract	In this paper, we examine the integration of European government bond markets using daily returns over the 19982003 period with a set of complementary techniques to assess the time varying level of financial integration. We find evidence of strong contemporaneous and dynamic linkages between Euro zone bond markets with that of Germany. However, there is much weaker evidence outside of the Euro zone for the three accession markets of 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 European Union (EU).	en_US
dc.publisher	Elsevier	en_US
dc.relation.ispartof	Journal of International Financial Markets, Institutions and Money	en_US
dc.subject.classification	Finance	en_US
dc.title	Dynamics of bond market integration between established and accession European Union countries	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	16	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1402 Applied Economics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.consider-herdc	false	en_US
pubs.issue	1	en_US
pubs.volume	16	en_US

Abstract:

In this paper, we examine the integration of European government bond markets using daily returns over the 19982003 period with a set of complementary techniques to assess the time varying level of financial integration. We find evidence of strong contemporaneous and dynamic linkages between Euro zone bond markets with that of Germany. However, there is much weaker evidence outside of the Euro zone for the three accession markets of 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 European Union (EU).

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http://hdl.handle.net/10453/15760