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

In: Information Spillovers and Market Integration in International Finance Empirical Analyses

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  • Suk-Joong Kim
  • Brian M Lucey
  • Eliza Wu

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.

Suggested Citation

  • Suk-Joong Kim & Brian M Lucey & Eliza Wu, 2018. "Dynamics of Bond Market Integration between Established and New European Union Countries," World Scientific Book Chapters, in: Information Spillovers and Market Integration in International Finance Empirical Analyses, chapter 11, pages 369-389, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789813223585_0011
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    Keywords

    Currency Intervention; Macroeconomic News; International Capital Flows; Sovereign Credit Rating;
    All these keywords.

    JEL classification:

    • F30 - International Economics - - International Finance - - - General

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