Evolution of international stock and bond market integration: Influence of the European Monetary Union

Kim, S; Moshirian, F; Wu, E

Evolution of international stock and bond market integration: Influence of the European Monetary Union

Kim, S Moshirian, F Wu, E

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Publisher:: Elsevier Inc
Publication Type:: Journal Article
Citation:: Journal of Banking and Finance, 2006, 30 (5), pp. 1507 - 1534
Issue Date:: 2006-01

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Field	Value	Language
dc.contributor.author	Kim, S	en_US
dc.contributor.author	Moshirian, F	en_US
dc.contributor.author	Wu, E	en_US
dc.date.issued	2006-01	en_US
dc.identifier.citation	Journal of Banking and Finance, 2006, 30 (5), pp. 1507 - 1534	en_US
dc.identifier.issn	0378-4266	en_US
dc.identifier.uri	http://hdl.handle.net/10453/15844
dc.description.abstract	This paper examines the dynamic relationship between daily stock and government bond returns of selected countries over the past decade to infer the state and progress of inter-financial market integration. We proceed to empirically investigate the influence of the European Monetary Union (EMU) on time variations in inter-stockbond market integration/segmentation dynamics using a two-step procedure: First, we document the downward trends in time-varying conditional correlations between stock and bond market returns in European countries, Japan and the US. Second, we investigate the causality and determinants of this interdependent relationship, in particular, whether the various macroeconomic convergence criteria associated with the EMU have played a significant role. We find that real economic integration and the reduction in currency risk have generally had the desired effect on financial integration but monetary policy integration may have created uncertain investor sentiments on the economic future of the EMU, thereby stimulating a flight to quality phenomenon.	en_US
dc.publisher	Elsevier Inc	en_US
dc.relation.ispartof	Journal of Banking and Finance	en_US
dc.relation.isbasedon	10.1016/j.jbankfin.2005.05.007	en_US
dc.rights	Elsevier required licence: © 2006 . This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/. The definitive publisher version is available online at https://doi.org/10.1016/j.jbankfin.2005.05.007	en_US
dc.subject.classification	Finance	en_US
dc.title	Evolution of international stock and bond market integration: Influence of the European Monetary Union	en_US
dc.type	Journal Article
utslib.citation.volume	5	en_US
utslib.citation.volume	30	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	0102 Applied Mathematics	en_US
utslib.for	1401 Economic Theory	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	open_access
pubs.consider-herdc	false	en_US
pubs.issue	5	en_US
pubs.volume	30	en_US

Abstract:

This paper examines the dynamic relationship between daily stock and government bond returns of selected countries over the past decade to infer the state and progress of inter-financial market integration. We proceed to empirically investigate the influence of the European Monetary Union (EMU) on time variations in inter-stockbond market integration/segmentation dynamics using a two-step procedure: First, we document the downward trends in time-varying conditional correlations between stock and bond market returns in European countries, Japan and the US. Second, we investigate the causality and determinants of this interdependent relationship, in particular, whether the various macroeconomic convergence criteria associated with the EMU have played a significant role. We find that real economic integration and the reduction in currency risk have generally had the desired effect on financial integration but monetary policy integration may have created uncertain investor sentiments on the economic future of the EMU, thereby stimulating a flight to quality phenomenon.

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http://hdl.handle.net/10453/15844