Time-varying bond market integration and the impact of financial crises
本文研究38个政府债券市场的时变整合，发现危机期间调整后的整合程度更高，成熟市场整合度上升，新兴市场变化不大，欧元区市场在欧元引入后几乎完全整合。
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.