An Analysis of the Relationship Between International Bond Markets

Clare, Andrew; Lekkos, Ilias

doi:10.2139/ssrn.258021

Cited by 30 publications

(22 citation statements)

References 9 publications

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“…Extending from this, Barr and Priestley (2004) applied a similar framework to assess international bond market integration. Moreover, both Clare and Lekkos (2000) and Cappiello et al (2003) have found significant variations in international bond market return comovements but they do not interpret this in a financial market integration context. Like Cappiello et al (2003), Christiansen (2003) has also found some changes in European bond markets since the introduction of the Euro.…”

Section: Introductionmentioning

confidence: 89%

Dynamics of bond market integration between established and accession European Union countries

Kim

Lucey

2006

Journal of International Financial Markets, Institutions and Mo

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In this paper, we examine the integration of European government bond markets using daily returns over the 1998-2003 period with a set of complementary techniques to assess the time varying level of financial integration. We find evidence of strong contemporaneous and dynamic linkages between Euro zone bond markets with that of Germany. However, there is much weaker evidence outside of the Euro zone for the three accession markets of 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 European Union (EU). (E. Wu). 1 Tel.: +61 2 9385 4278; fax: +61 2 9385 6347. 2 Tel.: +61 2 9385 5852; fax: +61 2 9385 6347.

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Section: Introductionmentioning

confidence: 89%

Dynamics of bond market integration between established and accession European Union countries

Kim

Lucey

2006

Journal of International Financial Markets, Institutions and Mo

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“…It has been recognised in the mainstream financial economics (dating back to Markowitz 1958 andGrubel 1968) that increased co-movement observed during financial market contagion reduces benefits of international financial portfolio diversification. The finding that contagion from developed to Croatian stock market occurs during international financial market turbulence contagion analysis is also important for financial market supervisory authorities because of their implications for the stability of financial markets policy (Clare and Lekkos, 2000;Berben and Jansen, 2005;Dajčman 2013). The threat of contagion calls for a swift policy reaction in order to reassure financial market participants and prevent shock-spillovers between financial market segments and to nonfinancial segments of the economy.…”

Section: Crobex-daxmentioning

confidence: 99%

Was there a contagion between major European and Croatian stock markets? An analysis of co-exceedances

Dajčman¹

2014

Economic Research-Ekonomska Istraživanja

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This article examines extreme returns co-movement and contagion between the Croatian and 10 European stock markets during major financial market distress periods in the period from end of 2003 until start of 2012. The extreme return co-movement analysis is based on analysis of coincidences of extreme return shocks (co-exceedances; extreme returns are defined as lower 5% daily returns in the empirical return distributions) across investigated countries. I found that the first instances of co-exceedances between the Croatian and the observed European stock markets occurred in the 2007, during the subprime mortgage crisis as the predecessor of the global financial crisis. With the start of the global financial crisis, the count of co-exceedances across all observed pairs of stock markets markedly increased. In order to separate contagion from interdependence, I further applied a multinomial logistic function, that enabled me to control for common world and regional factors that affected all investigated stock markets simultaneously. In controlling for these factors I found that the increase in the count of negative return co-exceedances between the Croatian and major European stock markets during the global financial crisis and the eurozone debt crisis cannot be attributed to contagion.

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“…This suggests that yield movements in the bonds of one country contribute to and affect yield movements in other countries. Clare and Lekkos (2000) examine the globalization of financial markets in the context of the efficacy of an independent monetary policy. Monetary policy typically affects the short end of the term structure of government bonds.…”

Section: Business and Economic Researchmentioning

confidence: 99%

Is there a Long-Term Relationship among European Sovereign Bond Yields?

Schaeffer¹,

Ramírez²

2017

BER

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The integration of financial markets has been a recurring theme in academic and financial research. The majority of the literature has focused on equity markets. Literature on the integration of international bond markets is not as common, specifically regarding that of European bonds since the beginning of the common currency area in 1999. This paper estimates a fixed effects pooled model and then proceeds to undertake panel unit root and cointegration tests to determine the degree of co-movement of European sovereign bond yields. The reported estimates suggest that yields move together over time, thus the benefits of diversification in European government bond portfolios may be limited. The results also have important implications for monetary policy. Given that economic shocks (e.g. inflationary shocks) are transmitted quickly from country to country, then it will complicate the task of monetary policy when it comes to pursuing an independent policy with respect to domestic monetary conditions in the presence of asymmetric economic shocks.

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An Analysis of the Relationship Between International Bond Markets

Cited by 30 publications

References 9 publications

Dynamics of bond market integration between established and accession European Union countries

Dynamics of bond market integration between established and accession European Union countries

Was there a contagion between major European and Croatian stock markets? An analysis of co-exceedances

Is there a Long-Term Relationship among European Sovereign Bond Yields?

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