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Time-varying integration of the sovereign bond markets in European post-transition economies

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  • Posedel Šimović, Petra
  • Tkalec, Marina
  • Vizek, Maruška
  • Lee, Junsoo

Abstract

In this paper, we examine the time-varying integration between eight European post-transition government bond markets and the Eurozone bond market. The objective is twofold: first is to measure the level of integration in these economies, and the second is to better understand some of the fundamental drivers of integration. Our results suggest that integration varies widely across the region. One of the major drivers of integration is economic development, as more advanced countries generally had higher levels of integration. Moreover, joining the European Union either exerted a positive boost or was neutral with regards to sovereign bond integration. Finally, integration changes over time; in particular, integration has decreased with the financial crisis, although the decrease leveled off relatively swiftly soon after.

Suggested Citation

  • Posedel Šimović, Petra & Tkalec, Marina & Vizek, Maruška & Lee, Junsoo, 2016. "Time-varying integration of the sovereign bond markets in European post-transition economies," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 30-40.
    • Handle: RePEc:eee:empfin:v:36:y:2016:i:c:p:30-40
    DOI: 10.1016/j.jempfin.2015.12.005
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    2. Gkillas, Konstantinos & Tsagkanos, Athanasios & Svingou, Argyro & Siriopoulos, Costas, 2020. "Uncertainty in Euro area and the bond spreads," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
    3. Dimic, Nebojsa & Piljak, Vanja & Swinkels, Laurens & Vulanovic, Milos, 2021. "The structure and degree of dependence in government bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    4. Boubaker, Sabri & Nguyen, Duc Khuong & Piljak, Vanja & Savvides, Andreas, 2019. "Financial development, government bond returns, and stability: International evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 81-96.
    5. Renée Fry-McKibbin & Cody Yu-Ling Hsiao & Vance L. Martin, 2018. "Measuring financial interdependence in asset returns with an application to euro zone equities," CAMA Working Papers 2018-05, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    6. Ha, Le Thanh, 2022. "Effects of digitalization on financialization: Empirical evidence from European countries," Technology in Society, Elsevier, vol. 68(C).
    7. Phuc Nguyen, Canh & Dinh Su, Thanh & Doytch, Nadia, 2020. "The drivers of financial development: Global evidence from internet and mobile usage," Information Economics and Policy, Elsevier, vol. 53(C).
    8. Maruska Vizek, 2019. "The Sovereign Bond Markets Return And Volatility Spillovers," Economic Thought and Practice, Department of Economics and Business, University of Dubrovnik, vol. 28(2), pages 597-610, december.

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    More about this item

    Keywords

    European post-transition countries; Sovereign securities markets; Bond market integration;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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