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Time-varying bond market integration and the impact of financial crises

Time-varying bond market integration and the impact of financial crises
Time-varying bond market integration and the impact of financial crises
This paper studies the dynamics of market integration in government bond markets. We utilise a new approach based on Pukthuanthong and Roll (2009) to investigate time-varying integration in 38 markets. We explore the impact of crisis periods, alongside differences in sample length, region, development and whether EMU and EU markets show obvious different integration from non-EU markets. Finally, we examine the effects of bonds' maturities on market integration. Considering the effects of factor heteroscedasticity and contagion during crisis periods, adjusted market integration is notably higher than implied by the Pukthuanthong and Roll (2009) measure. Developed markets experience increasing market integration over time, more than emerging markets. Most emerging markets provide little evidence of greater market integration. The EMU markets become almost fully integrated after the introduction of the Euro. Market integration also increases with maturity.
Bond market integration, Contagion, EMU, Financial crisis
1057-5219
Qin, Weiping
3e8d75f0-72bb-4ac5-8301-51633cc0eb16
Cho, Sungjun
9f1da7dd-769b-40d2-826d-06d4da3f5399
Hyde, Stuart
250c8794-2190-4b3e-83c6-7c6f40698d72
Qin, Weiping
3e8d75f0-72bb-4ac5-8301-51633cc0eb16
Cho, Sungjun
9f1da7dd-769b-40d2-826d-06d4da3f5399
Hyde, Stuart
250c8794-2190-4b3e-83c6-7c6f40698d72

Qin, Weiping, Cho, Sungjun and Hyde, Stuart (2023) Time-varying bond market integration and the impact of financial crises. International Review of Financial Analysis, 90, [102909]. (doi:10.1016/j.irfa.2023.102909).

Record type: Article

Abstract

This paper studies the dynamics of market integration in government bond markets. We utilise a new approach based on Pukthuanthong and Roll (2009) to investigate time-varying integration in 38 markets. We explore the impact of crisis periods, alongside differences in sample length, region, development and whether EMU and EU markets show obvious different integration from non-EU markets. Finally, we examine the effects of bonds' maturities on market integration. Considering the effects of factor heteroscedasticity and contagion during crisis periods, adjusted market integration is notably higher than implied by the Pukthuanthong and Roll (2009) measure. Developed markets experience increasing market integration over time, more than emerging markets. Most emerging markets provide little evidence of greater market integration. The EMU markets become almost fully integrated after the introduction of the Euro. Market integration also increases with maturity.

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Accepted/In Press date: 6 September 2023
e-pub ahead of print date: 11 September 2023
Published date: November 2023
Additional Information: Publisher Copyright: © 2023 The Author(s)
Keywords: Bond market integration, Contagion, EMU, Financial crisis

Identifiers

Local EPrints ID: 482346
URI: http://eprints.soton.ac.uk/id/eprint/482346
ISSN: 1057-5219
PURE UUID: 85b10f5c-9276-4a32-962f-bbe70673bcba
ORCID for Weiping Qin: ORCID iD orcid.org/0000-0003-4346-6145

Catalogue record

Date deposited: 27 Sep 2023 16:38
Last modified: 20 Jul 2024 02:09

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Contributors

Author: Weiping Qin ORCID iD
Author: Sungjun Cho
Author: Stuart Hyde

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