Sovereign bond market integration in the euro area: a new empirical conceptualization - Aix-Marseille Université Access content directly
Journal Articles Annals of Operations Research Year : 2022

Sovereign bond market integration in the euro area: a new empirical conceptualization

Abstract

This paper proposes a new empirical conceptualization of financial integration of sovereign bond markets in the euro area. We introduce a methodology based on the joint testing of the assumptions of efficient market and convergence/divergence of the yield spreads. We test these assumptions by proposing parametric and non-parametric techniques. We find that markets have been more fragmented than usually advocated in the literature. We also show that the information contained in the fundamentals are not always fully reflected in the spreads, which suggests that either they have insignificant effects, or that their coefficients in the spread equations appear with the wrong sign.
Fichier principal
Vignette du fichier
Manuscript_jawadi_et_al.pdf (362.68 Ko) Télécharger le fichier
Origin Files produced by the author(s)

Dates and versions

hal-03740521 , version 1 (28-02-2023)

Identifiers

Cite

Gilles Dufrénot, Fredj Jawadi, Zied Ftiti. Sovereign bond market integration in the euro area: a new empirical conceptualization. Annals of Operations Research, 2022, 318 (1), pp.147-161. ⟨10.1007/s10479-022-04847-5⟩. ⟨hal-03740521⟩
46 View
41 Download

Altmetric

Share

Gmail Mastodon Facebook X LinkedIn More