Integration of European bond markets

被引：40

作者：

Christiansen, Charlotte ^{[1
]}

机构：

[1] Aarhus Univ, Sch Business & Social Sci, Dept Econ & Business, CREATES, DK-8210 Aarhus V, Denmark

来源：

JOURNAL OF BANKING & FINANCE | 2014年 / 42卷

关键词：

Integration; European government bond markets; European sovereign debt crisis; Financial crises; Factor models; EXPECTED RETURNS; RISK; SOVEREIGN;

D O I：

10.1016/j.jbankfin.2014.01.022

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

I investigate the time variation in the integration of EU government bond markets. The integration is measured by the explanatory power of European factor portfolios for the individual bond markets for each year. The integration of the government bond markets is stronger for EMU than non-EMU members and stronger for old than new EU members. For EMU countries, the integration is weaker the lower the credit rating is. During the recent crisis periods, the integration is weaker, particularly for EMU countries. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：191 / 198

页数：8

共 50 条

[41] Expected returns, risk and the integration of international bond markets
Barr, DG
Priestley, R
[J]. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2004, 23 (01) : 71 - 97
[42] THE MONEY AND BOND MARKETS IN FRANCE - SEGMENTATION VS INTEGRATION
DUMAS, B
JACQUILLAT, B
[J]. JOURNAL OF BANKING & FINANCE, 1990, 14 (2-3) : 613 - 635
[43] Factor decomposition and diversification in European corporate bond markets
Pieterse-Bloem, Mary
Mahieu, Ronald J.
[J]. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2013, 32 : 194 - 213
[44] Volatility-spillover effects in european bond markets
Christiansen, Charlotte
[J]. EUROPEAN FINANCIAL MANAGEMENT, 2007, 13 (05) : 923 - 948
[45] Classifying returns as extreme: European stock and bond markets
Christiansen, Charlotte
[J]. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2014, 34 : 1 - 4
[46] An analysis of liquidity skewness for European sovereign bond markets
Yan Wei
Hamill, Philip
Li Youwei
Vigne, Samuel A.
Waterworth, James
[J]. FINANCE RESEARCH LETTERS, 2018, 26 : 274 - 280
[47] EMU and European government bond market integration
Abad, Pilar
Chulia, Helena
Gomez-Puig, Marta
[J]. JOURNAL OF BANKING & FINANCE, 2010, 34 (12) : 2851 - 2860
[48] Integration of Renewable Energy in Markets: Analysis of Key European and American Electricity Markets
Algarvio, Hugo
Lopes, Fernando
Santana, Joao
[J]. TECHNOLOGICAL INNOVATION FOR INDUSTRY AND SERVICE SYSTEMS, DOCEIS 2019, 2019, 553 : 321 - 328
[49] The integration of European stock markets and market timing.
da Fonseca, JAS
[J]. INSURANCE MATHEMATICS & ECONOMICS, 2003, 33 (02): : 436 - 436
[50] Integration in European coal markets, 1833-1913†
Murray, John E.
Silvestre, Javier
[J]. ECONOMIC HISTORY REVIEW, 2020, 73 (03): : 668 - 702

← 1 2 3 4 5 →