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

Dufrénot, Gilles; Jawadi, Fredj; Ftiti, Zied

Document type :

Compte-rendu et recension critique d'ouvrage

DOI :

10.1007/s10479-022-04847-5

Title :

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

Author(s) :

Dufrénot, Gilles [Auteur]
Aix-Marseille Sciences Economiques [AMSE]
Jawadi, Fredj [Auteur]

Recherche Interdisciplinaire en Management et Économie Lab - ULR 7396 [RIME-Lab]
Lille University Management Lab - ULR 4999 [LUMEN]
Ftiti, Zied [Auteur]
EDC Paris Business School [EDC]

Journal title :

Annals of Operations Research

Pages :

147-161

Publisher :

Springer Verlag

Publication date :

2022-11

ISSN :

0254-5330

English keyword(s) :

Financial integration
Euro area
Sovereign bonds
Fundamentals

HAL domain(s) :

Sciences de l'Homme et Société/Economies et finances

English abstract : [en]

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 ...
Show more >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.Show less >

Language :

Anglais

Popular science :

Non

ANR Project :

Aix-Marseille School of Economics
INITIATIVE D'EXCELLENCE AIX MARSEILLE UNIVERSITE

Comment :

CAT: Operations Research & Management Science

Collections :