Dynamics of Bond Market Integration between Existing and Accession EU Countries

27 Pages Posted: 31 May 2004 Last revised: 21 May 2015

See all articles by Suk-Joong Kim

Suk-Joong Kim

The University of Sydney Business School

Brian M. Lucey

Trinity Business School, Trinity College Dublin; Abu Dhabi University - College of Business Administration; Shanghai Lixin Univeristy of Accounting and Finance

Eliza Wu

The University of Sydney - Business School; Financial Research Network (FIRN)

Abstract

In this paper, we use a set of complementary techniques to examine the time-varying level of integration of European government bond markets. We consider daily bond returns and prices over the 1998-2003 period. Strong contemporaneous and dynamic linkages are found between individual European Union (EU) markets and the German market. However, there is no such evidence for the three accession markets of the Czech Republic, Hungary and Poland. The UK's market is also considered. In general, the degree of integration for the accession markets is weak and stable, with little evidence of further deepening despite the increased political integration.

Keywords: EGARCH, bond markets, EMU

JEL Classification: F36, G15

Suggested Citation

Kim, Suk-Joong and Lucey, Brian M. and Wu, Eliza, Dynamics of Bond Market Integration between Existing and Accession EU Countries. Journal of International Financial Markets, Institutions and Money, Vol. 16, No. 1, pp. 41-46, 2005, Available at SSRN: https://ssrn.com/abstract=552221 or http://dx.doi.org/10.2139/ssrn.552221

Suk-Joong Kim

The University of Sydney Business School ( email )

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Sydney, NSW 2006
Australia
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Brian M. Lucey (Contact Author)

Trinity Business School, Trinity College Dublin ( email )

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Ireland
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+353 1 679 9503 (Fax)

Abu Dhabi University - College of Business Administration ( email )

PO Box 59911
Abu Dhabi, Abu Dhabi 59911
United Arab Emirates

Shanghai Lixin Univeristy of Accounting and Finance ( email )

Shanghai
China

Eliza Wu

The University of Sydney - Business School ( email )

University of Sydney
Darlington
Sydney, NSW 2006
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

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