CAPITAL MARKET INTEGRATION Evaluation and Measurement: Sovereign Bond Market

Peter Víťazka

Diplomová práce

Capital Market Integration. Evaluation and measurement: Risk-premium test

Anotace:

The paper focuses on capital market integration at sovereign bond market in eleven selected euro zone countries (Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal, and Spain). The first main objective is to test the degree of capital market integration before and after the crisis using Germany as a benchmark country and also among them as well. Secondly it evaluates and provides reasons of capital integration in time. The examination is applied through i) sigma convergence ii) yield spreads iii) correlation matrix iv) cointegration tests. I found almost zero yield differences before crisis. After 2008 results show segmentation in euro zone countries with certain special characteristic for countries with high credit ratings.

Abstract:

The paper focuses on capital market integration at sovereign bond market in eleven selected euro zone countries (Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal, and Spain). The first main objective is to test the degree of capital market integration before and after the crisis using Germany as a benchmark country and also among them as well. Secondly it evaluates and provides reasons of capital integration in time. The examination is applied through i) sigma convergence ii) yield spreads iii) correlation matrix iv) cointegration tests. I found almost zero yield differences before crisis. After 2008 results show segmentation in euro zone countries with certain special characteristic for countries with high credit ratings.

Klíčová slova

yield spreads, cointegration, capital market integration, sigma-convergence

Keywords

cointegration, capital market integration, yield spreads, sigma-convergence

Jazyk práce: angličtina

Datum vytvoření / odevzdání či podání práce: 12. 3. 2013

Obhajoba závěrečné práce

• Obhajoba proběhla 22. 10. 2013
• Vedoucí: Anna Klosová

Vysoká škola ekonomická v Praze

Magisterský studijní program:
Economics of Globalisation and European Integration