Bond markets integration in the EU: New empirical evidence from the Eastern non-euro member-states |
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| Affiliation: | 1. Department of Accounting, Finance and Economics, American College of Greece (Deree), Gravias Street, 6, 15342 Athens, Greece;2. Department of International and European Studies, University of Macedonia, Egnatias 156, 54006 Thessaloniki, Greece;1. Claremont McKenna College, United States;2. EY-Parthenon, San Francisco, California, United States;3. Lake Forest College and University of Wisconsin, Whitewater, United States;1. School of Economics and Statistics, Guangzhou University, China;2. School of Finance, Guangdong University of Foreign Studies, China;3. Institute of Fortune Management Research (IFMR), China;4. Institute of Financial Openness and Asset Management, China;5. South China Business College, Guangdong University of Foreign Studies, China |
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| Abstract: | The financial integration among the member-states in the long run inside the union constitutes an important task of the EU officials and policy makers. The sovereign-debt crisis of the Eurozone decelerated its economic integration and subsequently increased the unwillingness of the non-euro member-states to join the monetary union. In the light of this background, the research aim of this manuscript is to examine the bond markets integration among the EU CEE non-euro countries and the EA Big-5 economies. The empirical evidence supports that the Eastern member-states’ bond markets integration is heterogeneous and disparate. Lastly, the directional volatility spillovers, unveil that the volatility effects on the EU CEE non-euro bond markets are diversified revealing the leading role of EA core bond markets. |
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| Keywords: | Bond markets FCVAR EU unification Financial integration EU CEE economies Directional volatility spillovers |
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