IDEAS home Printed from https://ideas.repec.org/p/tiu/tiutis/3c6ce80d-9260-424a-b889-bf521d2e0313.html
   My bibliography  Save this paper

The effect of Emu on bond market integration and investor portfolio allocations

Author

Listed:
  • Pieterse-Bloem, M.

    (Tilburg University, School of Economics and Management)

Abstract

No abstract is available for this item.

Suggested Citation

  • Pieterse-Bloem, M., 2011. "The effect of Emu on bond market integration and investor portfolio allocations," Other publications TiSEM 3c6ce80d-9260-424a-b889-b, Tilburg University, School of Economics and Management.
  • Handle: RePEc:tiu:tiutis:3c6ce80d-9260-424a-b889-bf521d2e0313
    as

    Download full text from publisher

    File URL: https://pure.uvt.nl/ws/portalfiles/portal/1332002/PROEFSCHRIFT_25Feb11.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Obstfeld, Maurice, 1998. "The Global Capital Market: Benefactor or Menace?," Department of Economics, Working Paper Series qt3kn3n2s8, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    2. Bayoumi, Tamim A. & Rose, Andrew K., 1993. "Domestic savings and intra-national capital flows," European Economic Review, Elsevier, vol. 37(6), pages 1197-1202, August.
    3. Eichengreen, Barry & Tobin, James & Wyplosz, Charles, 1995. "Two Cases for Sand in the Wheels of International Finance," Economic Journal, Royal Economic Society, vol. 105(428), pages 162-172, January.
    4. Roberto A. De Santis, 2010. "The Geography of International Portfolio Flows, International CAPM, and the Role of Monetary Policy Frameworks," International Journal of Central Banking, International Journal of Central Banking, vol. 6(2), pages 147-197, June.
    5. Lewis, Karen K, 1996. "What Can Explain the Apparent Lack of International Consumption Risk Sharing?," Journal of Political Economy, University of Chicago Press, vol. 104(2), pages 267-297, April.
    6. Garber, Peter & Taylor, Mark P, 1995. "Sand in the Wheels of Foreign Exchange Markets: A Sceptical Note," Economic Journal, Royal Economic Society, vol. 105(428), pages 173-180, January.
    7. Jean-Sébastien Fontaine & René Garcia, 2012. "Bond Liquidity Premia," The Review of Financial Studies, Society for Financial Studies, vol. 25(4), pages 1207-1254.
    8. De Santis, Roberto A. & Gérard, Bruno, 2006. "Financial integration, international portfolio choice and the European Monetary Union," Working Paper Series 626, European Central Bank.
    9. Kpate ADJAOUTÉ, & Jean-Pierre DANTHINE, 2000. "EMU and Portfolio Diversification Opportunities," FAME Research Paper Series rp31, International Center for Financial Asset Management and Engineering.
    10. Bai, Ye & Green, Christopher J., 2010. "International diversification strategies: Revisited from the risk perspective," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 236-245, January.
    11. Bent E. S�rensen & Oved Yosha, 1998. "International Risk Sharing and European Monetary Unification," Temi di discussione (Economic working papers) 327, Bank of Italy, Economic Research and International Relations Area.
    12. Gian Maria Milesi-Ferretti, & Philip R. Lane, 2003. "International Financial Integration," The Institute for International Integration Studies Discussion Paper Series iiisdp03, IIIS.
    13. Montiel, Peter J, 1994. "Capital Mobility in Developing Countries: Some Measurement Issues and Empirical Estimates," The World Bank Economic Review, World Bank, vol. 8(3), pages 311-350, September.
    14. Eijffinger,Sylvester C. W. & Huizinga,Harry P. (ed.), 1998. "Positive Political Economy," Cambridge Books, Cambridge University Press, number 9780521572156, September.
    15. Huberman, Gur & Kandel, Shmuel, 1987. "Mean-Variance Spanning," Journal of Finance, American Finance Association, vol. 42(4), pages 873-888, September.
    16. Adjaoute, K. & Danthine, J.P., 2001. "Portfolio Diversification: Alive and well In Euroland," Papers 32, Manitoba - Department of Economics.
    17. Ghosh, Atish R, 1995. "International Capital Mobility amongst the Major Industrialised Countries: Too Little or Too Much?," Economic Journal, Royal Economic Society, vol. 105(428), pages 107-128, January.
    18. Sylvester C. W. Eijffinger & Jan J. G Lemmen, 1995. "Money Market Integration in Europe," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 131(I), pages 3-37, March.
    19. Sorensen, Bent E. & Yosha, Oved, 1998. "International risk sharing and European monetary unification," Journal of International Economics, Elsevier, vol. 45(2), pages 211-238, August.
    20. Simone Varotto, 2003. "Credit risk diversification: evidence from the eurobond market," Bank of England working papers 199, Bank of England.
    21. Bollerslev, Tim & Russell, Jeffrey & Watson, Mark (ed.), 2010. "Volatility and Time Series Econometrics: Essays in Honor of Robert Engle," OUP Catalogue, Oxford University Press, number 9780199549498.
    22. Feldstein, Martin & Horioka, Charles, 1980. "Domestic Saving and International Capital Flows," Economic Journal, Royal Economic Society, vol. 90(358), pages 314-329, June.
    23. Flavin, Thomas J., 2004. "The effect of the Euro on country versus industry portfolio diversification," Journal of International Money and Finance, Elsevier, vol. 23(7-8), pages 1137-1158.
    24. Mehmet Fatih Ekinci & Şebnem Kalemli-Özcan & Bent E. Sørensen, 2009. "Financial Integration within EU Countries: The Role of Institutions, Confidence and Trust," NBER Chapters, in: NBER International Seminar on Macroeconomics 2007, pages 325-391, National Bureau of Economic Research, Inc.
    25. Moerman, Gerard, 2004. "Diversification in euro area stock markets: country versus industry," Working Paper Series 327, European Central Bank.
    26. Frankel, Jeffrey A. & MacArthur, Alan T., 1988. "Political vs. currency premia in international real interest differentials : A study of forward rates for 24 countries," European Economic Review, Elsevier, vol. 32(5), pages 1083-1114, June.
    27. Giavazzi, Francesco & Danthine, Jean-Pierre & von Thadden, Ernst-Ludwig, 2000. "European Financial Markets After EMU: A First Assessment," CEPR Discussion Papers 2413, C.E.P.R. Discussion Papers.
    28. Maurice Obstfeld, 1998. "The Global Capital Market: Benefactor or Menace?," Journal of Economic Perspectives, American Economic Association, vol. 12(4), pages 9-30, Fall.
    29. Portes, Richard & Rey, Helene & Oh, Yonghyup, 2001. "Information and capital flows: The determinants of transactions in financial assets," European Economic Review, Elsevier, vol. 45(4-6), pages 783-796, May.
    30. Michael Dooley & Jeffrey Frankel & Donald J. Mathieson, 1987. "International Capital Mobility: What Do Saving-Investment Correlations Tell Us?," IMF Staff Papers, Palgrave Macmillan, vol. 34(3), pages 503-530, September.
    31. Eiling, Esther & Gerard, Bruno & de Roon, Frans, 2006. "International Diversification in the Euro-Zone: The Increasing Riskiness of Industry Portfolios," Working Papers 06-2, University of Pennsylvania, Wharton School, Weiss Center.
    32. Study group on fixed income markets, 2001. "The changing shape of fixed income markets," BIS Papers chapters, in: Bank for International Settlements (ed.), The changing shape of fixed income markets: a collection of studies by central bank economists, volume 5, pages 1-43, Bank for International Settlements.
    33. Philip R. Lane, 2006. "Global Bond Portfolios and EMU," International Journal of Central Banking, International Journal of Central Banking, vol. 2(2), May.
    34. Fecht, Falko & Grüner, Hans Peter, 2005. "Financial Integration and Systemic Risk," CEPR Discussion Papers 5253, C.E.P.R. Discussion Papers.
    35. Kate Phylaktis & Lichuan Xia, 2006. "The Changing Roles of Industry and Country Effects in the Global Equity Markets," The European Journal of Finance, Taylor & Francis Journals, vol. 12(8), pages 627-648.
    36. DeRoon, Frans A. & Nijman, Theo E., 2001. "Testing for mean-variance spanning: a survey," Journal of Empirical Finance, Elsevier, vol. 8(2), pages 111-155, May.
    37. Martin Feldstein, 1991. "Domestic Saving and International Capital Movements in the Long Run and the Short Run," NBER Chapters, in: International Volatility and Economic Growth: The First Ten Years of The International Seminar on Macroeconomics, pages 331-353, National Bureau of Economic Research, Inc.
    38. Baele, Lieven & Inghelbrecht, Koen, 2009. "Time-varying Integration and International diversification strategies," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 368-387, June.
    39. Moerman, Gerard A., 2008. "Diversification in euro area stock markets: Country versus industry," Journal of International Money and Finance, Elsevier, vol. 27(7), pages 1122-1134, November.
    40. Sebastian Edwards, 1999. "How Effective Are Capital Controls?," Journal of Economic Perspectives, American Economic Association, vol. 13(4), pages 65-84, Fall.
    41. Kpate ADJAOUTE & Jean-Pierre DANTHINE, 2004. "Equity Returns and Integration: Is Europe Changing?," FAME Research Paper Series rp117, International Center for Financial Asset Management and Engineering.
    42. Baele, Lieven & Ferrando, Annalisa & Hördahl, Peter & Krylova, Elizaveta & Monnet, Cyril, 2004. "Measuring financial integration in the euro area," Occasional Paper Series 14, European Central Bank.
    43. Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2009. "International Stock Return Comovements," Journal of Finance, American Finance Association, vol. 64(6), pages 2591-2626, December.
    44. Gikas A. Hardouvelis & Dimitrios Malliaropulos & Richard Priestley, 2006. "EMU and European Stock Market Integration," The Journal of Business, University of Chicago Press, vol. 79(1), pages 365-392, January.
    45. Hartmann, Philipp & Grüner, Hans Peter & Fecht, Falko, 2007. "Welfare effects of financial integration," Discussion Paper Series 2: Banking and Financial Studies 2007,11, Deutsche Bundesbank.
    46. Popper, Helen, 1993. "Long-term covered interest parity: evidence from currency swaps," Journal of International Money and Finance, Elsevier, vol. 12(4), pages 439-448, August.
    47. World Bank, 2003. "Moldova : Public Economic Management Review," World Bank Publications - Reports 14834, The World Bank Group.
    48. George Furstenberg, 1998. "From Worldwide Capital Mobility to International Financial Integration: A Review Essay," Open Economies Review, Springer, vol. 9(1), pages 53-84, January.
    49. Heston, Steven L. & Rouwenhorst, K. Geert, 1994. "Does industrial structure explain the benefits of international diversification?," Journal of Financial Economics, Elsevier, vol. 36(1), pages 3-27, August.
    50. Shujing Li & Mr. Hamid Faruqee & Isabel K. Yan, 2004. "The Determinants of International Portfolio Holdings and Home Bias," IMF Working Papers 2004/034, International Monetary Fund.
    51. Cheung, Yiu Chung & de Jong, Frank & Rindi, Barbara, 2005. "Trading European sovereign bonds: the microstructure of the MTS trading platforms," Working Paper Series 432, European Central Bank.
    52. Fidora, Michael & Fratzscher, Marcel & Thimann, Christian, 2007. "Home bias in global bond and equity markets: The role of real exchange rate volatility," Journal of International Money and Finance, Elsevier, vol. 26(4), pages 631-655, June.
    53. Baele, Lieven & Pungulescu, Crina & Ter Horst, Jenke, 2007. "Model uncertainty, financial market integration and the home bias puzzle," Journal of International Money and Finance, Elsevier, vol. 26(4), pages 606-630, June.
    54. Torres,Francisco & Giavazzi,Francesco (ed.), 1993. "Adjustment and Growth in the European Monetary Union," Cambridge Books, Cambridge University Press, number 9780521440196, September.
    55. Baele, Lieven & Inghelbrecht, Koen, 2010. "Time-varying integration, interdependence and contagion," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 791-818, September.
    56. Kpate ADJAOUTÉ & Jean-Pierre DANTHINE, 2003. "European Financial Integration and Equity Returns: A Theory-Based Assessment," FAME Research Paper Series rp84, International Center for Financial Asset Management and Engineering.
    57. Morris Goldstein & Michael Mussa, 1993. "The integration of world capital markets," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 245-330.
    58. Lieven Baele, 2010. "The Determinants of Stock and Bond Return Comovements," The Review of Financial Studies, Society for Financial Studies, vol. 23(6), pages 2374-2428, June.
    59. Dermine, Jean & Hillion, Pierre (ed.), 1999. "European Capital Markets with a Single Currency," OUP Catalogue, Oxford University Press, number 9780198295396.
    60. Tamim Bayoumi & Ronald Macdonald, 1995. "Consumption, Income, and International Capital Market Integration," IMF Staff Papers, Palgrave Macmillan, vol. 42(3), pages 552-576, September.
    61. Kenen, Peter B, 1995. "Capital Controls, the EMS and EMU," Economic Journal, Royal Economic Society, vol. 105(428), pages 181-192, January.
    62. Nijman, T.E. & de Roon, F.A., 2001. "Testing for mean-variance spanning : A survey," Other publications TiSEM 0159f80a-c61b-4519-b004-a, Tilburg University, School of Economics and Management.
    63. Lieven Baele & Annalisa Ferrando & Peter Hördahl & Elizaveta Krylova & Cyril Monnet, 2004. "Measuring financial integration in the euro area," Occasional Paper Series 14, European Central Bank.
    64. Frankel, Jeffrey A, 1992. "Measuring International Capital Mobility: A Review," American Economic Review, American Economic Association, vol. 82(2), pages 197-202, May.
    65. Griffin, John M. & Andrew Karolyi, G., 1998. "Another look at the role of the industrial structure of markets for international diversification strategies," Journal of Financial Economics, Elsevier, vol. 50(3), pages 351-373, December.
    66. Robin Brooks & Marco Del Negro, 2002. "International diversification strategies," FRB Atlanta Working Paper 2002-23, Federal Reserve Bank of Atlanta.
    67. Jan J.G. Lemmen, 1998. "Integrating Financial Markets in the European Union," Books, Edward Elgar Publishing, number 1399.
    68. Cappiello, Lorenzo & Manganelli, Simone & Hördahl, Peter & Kadareja, Arjan, 2006. "The impact of the euro on financial markets," Working Paper Series 598, European Central Bank.
    69. de Jong, Frank & Rindi, Barbara & Cheung, Yiu Chung, 2004. "Trading European Sovereign Bonds: The Microstructure of the MTS Trading Platforms," CEPR Discussion Papers 4285, C.E.P.R. Discussion Papers.
    70. Sylvester Eijffinger & Jan J.G. Lemmen (ed.), 2003. "International Financial Integration," Books, Edward Elgar Publishing, volume 0, number 2093.
    71. the Study group on fixed income markets, 2001. "The changing shape of fixed income markets," BIS Working Papers 104, Bank for International Settlements.
    72. Wincoop, Eric van, 1994. "Welfare gains from international risksharing," Journal of Monetary Economics, Elsevier, vol. 34(2), pages 175-200, October.
    73. Jos Jansen, W, 1996. "Estimating saving-investment correlations: evidence for OECD countries based on an error correction model," Journal of International Money and Finance, Elsevier, vol. 15(5), pages 749-781, October.
    74. Krugman, Paul & Venables, Anthony J, 1990. "Integration and the Competitiveness of Peripheral Industry," CEPR Discussion Papers 363, C.E.P.R. Discussion Papers.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Pieterse-Bloem, Mary & Mahieu, Ronald J., 2013. "Factor decomposition and diversification in European corporate bond markets," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 194-213.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Pieterse-Bloem, Mary & Mahieu, Ronald J., 2013. "Factor decomposition and diversification in European corporate bond markets," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 194-213.
    2. Philip R. Lane & Sébastien Wälti, 2007. "The Euro and Financial Integration," Palgrave Macmillan Books, in: David Cobham (ed.), The Travails of the Eurozone, chapter 9, pages 208-232, Palgrave Macmillan.
    3. Apergis, Nicholas & Christou, Christina & Miller, Stephen M., 2014. "Country and industry convergence of equity markets: International evidence from club convergence and clustering," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 36-58.
    4. Pieterse-Bloem, Mary & Qian, Zhaowen & Verschoor, Willem & Zwinkels, Remco, 2016. "Time-varying importance of country and industry factors in European corporate bonds," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 429-448.
    5. Wälti, Sébastien, 2011. "Stock market synchronization and monetary integration," Journal of International Money and Finance, Elsevier, vol. 30(1), pages 96-110, February.
    6. Chou, Hsin-I & Zhao, Jing & Suardi, Sandy, 2014. "Factor reversal in the euro zone stock returns: Evidence from the crisis period," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 28-55.
    7. Tony Cavoli, 2006. "Financial Integration in East Asia: How Far? How Much Further to Go?," Working Papers id:372, eSocialSciences.
    8. Apergis, Nicholas & Tsoumas, Chris, 2009. "A survey of the Feldstein-Horioka puzzle: What has been done and where we stand," Research in Economics, Elsevier, vol. 63(2), pages 64-76, June.
    9. Balli, Faruk & Balli, Hatice O., 2011. "Sectoral equity returns in the Euro region: Is there any room for reducing portfolio risk?," Journal of Economics and Business, Elsevier, vol. 63(2), pages 89-106.
    10. Söehnke Bartram & Stephen Taylor & Yaw-Huei Wang, 2004. "The Euro and European Financial Market Integration," Money Macro and Finance (MMF) Research Group Conference 2004 49, Money Macro and Finance Research Group, revised 13 Oct 2004.
    11. Heinemann, Friedrich & Schüler, Martin, 2002. "How integrated are the European retail financial markets? A cointegration analysis," ZEW Discussion Papers 02-22, ZEW - Leibniz Centre for European Economic Research.
    12. Tesar, Linda L., 1995. "Evaluating the gains from international risksharing," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 42(1), pages 95-143, June.
    13. Lee E. Ohanian & Paulina Restrepo-Echavarria & Mark L. J. Wright, 2013. "Bad Investments and Missed Opportunities? Capital Flows to Asia and Latin America, 1950-2007," Working Papers 2014-38, Federal Reserve Bank of St. Louis.
    14. Cheol S. Eun & Sandy Lai & Frans A. de Roon & Zhe Zhang, 2010. "International Diversification with Factor Funds," Management Science, INFORMS, vol. 56(9), pages 1500-1518, September.
    15. Balli, Faruk & Basher, Syed Abul & Ozer-Balli, Hatice, 2010. "From home bias to Euro bias: Disentangling the effects of monetary union on the European financial markets," Journal of Economics and Business, Elsevier, vol. 62(5), pages 347-366, September.
    16. Ian Babetskii & Luboš Komárek & Zlatuše Komárková, 2007. "Financial Integration of Stock Markets among New EU Member States and the Euro Area," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 57(7-8), pages 341-362, September.
    17. Chiang, Shu-hen & Liu, Wen-Chien & Suardi, Sandy & Zhao, Jing, 2021. "United we stand divided we fall: The time-varying factors driving European Union stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
    18. Moerman, Gerard A., 2008. "Diversification in euro area stock markets: Country versus industry," Journal of International Money and Finance, Elsevier, vol. 27(7), pages 1122-1134, November.
    19. De Santis, Roberto A. & Gérard, Bruno, 2006. "Financial integration, international portfolio choice and the European Monetary Union," Working Paper Series 626, European Central Bank.
    20. Onur ÖZDEMIR, 2022. "High-Income Countries and Feldstein-Horioka Puzzle: Econometric Evidence from Dynamic Common-Correlated Effects Model," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 45-67, April.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tiu:tiutis:3c6ce80d-9260-424a-b889-bf521d2e0313. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Richard Broekman (email available below). General contact details of provider: https://www.tilburguniversity.edu/about/schools/economics-and-management/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.