Evolution of international stock and bond market integration: Influence of the European Monetary Union Kim, Suk-Joong en_US Moshirian, Fariborz en_US Wu, Eliza en_US 2021-11-25T13:37:40Z 2021-11-25T13:37:40Z 2006 en_US
dc.description.abstract This paper examines the dynamic relationship between daily stock and government bond returns of selected countries over the past decade to infer the state and progress of inter-financial market integration. We proceed to empirically investigate the influence of the European Monetary Union (EMU) on time variations in inter-stock-bond market integration/segmentation dynamics using a two-step procedure: First, we document the downward trends in time-varying conditional correlations between stock and bond market returns in European countries, Japan and the US. Second, we investigate the causality and determinants of this interdependent relationship, in particular, whether the various macroeconomic convergence criteria associated with the EMU have played a significant role. We find that real economic integration and the reduction in currency risk have generally had the desired effect on financial integration but monetary policy integration may have created uncertain investor sentiments on the economic future of the EMU, thereby stimulating a flight to quality phenomenon. (c) 2005 Elsevier B.V. All rights reserved. en_US
dc.identifier.issn 0378-4266 en_US
dc.language English
dc.language.iso EN en_US
dc.rights CC BY-NC-ND 3.0 en_US
dc.rights.uri en_US
dc.source Legacy MARC en_US
dc.subject.other Euro en_US
dc.subject.other volatility en_US
dc.subject.other currency unions en_US
dc.subject.other stock-bond correlations en_US
dc.subject.other time-varying financial market integration en_US
dc.subject.other flight to quality en_US
dc.subject.other optimal en_US
dc.subject.other currency area en_US
dc.title Evolution of international stock and bond market integration: Influence of the European Monetary Union en_US
dc.type Journal Article en
dcterms.accessRights open access
dspace.entity.type Publication en_US
unsw.identifier.doiPublisher en_US
unsw.relation.faculty Business
unsw.relation.ispartofissue 5 en_US
unsw.relation.ispartofjournal Journal of Banking and Finance en_US
unsw.relation.ispartofpagefrompageto 1507-1534 en_US
unsw.relation.ispartofvolume 30 en_US
unsw.relation.originalPublicationAffiliation Kim, Suk-Joong, Banking & Finance, Australian School of Business, UNSW en_US
unsw.relation.originalPublicationAffiliation Moshirian, Fariborz en_US
unsw.relation.originalPublicationAffiliation Wu, Eliza en_US School of Banking & Finance *
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