Two centuries of global financial market integration: Equities, government bonds, treasury bills, and currencies

Adam Zaremba , George D. Kambouris , Andreas Karathanasopoulos

Abstract

We perform the longest and broadest study of time variation in global financial market integration ever conducted. Using a unique comprehensive dataset, we examine returns on equities, government bonds, treasury bills, and currencies in 83 countries through a period of almost two centuries. The study discloses that the integration progresses in peaks and troughs instead of linearly. Although the post-2000 markets exhibit the strongest integration in history, certain asset classes in 1860 and 1930 recorded comparable levels. The high degree of current integration is a result of the surge that commenced as recently as 1970, rather than a consequence of a multi-century gradual process.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
, George D. Kambouris - University of Dubai, UAE
George D. Kambouris,,
-
, Andreas Karathanasopoulos - Dubai Business School, University of Dubai
Andreas Karathanasopoulos,,
-
Journal seriesEconomics Letters, ISSN 0165-1765, e-ISSN 1873-7374, (N/A 100 pkt)
Issue year2019
Vol182
Pages26-29
Publication size in sheets0.5
Keywords in Polishintegracja rynków finansowych, rynki globalne, analiza czynnikowa, wczesne dane rynkowe
Keywords in EnglishFinancial market integration, Global markets, Factor analysis, Early asset data
ASJC Classification2002 Economics and Econometrics; 2003 Finance
DOIDOI:10.1016/j.econlet.2019.05.043
URL https://www.sciencedirect.com/science/article/abs/pii/S0165176519302022
Languageen angielski
Score (nominal)100
Score sourcejournalList
ScoreMinisterial score = 100.0, 06-04-2020, ArticleFromJournal
Publication indicators WoS Citations = 1; Scopus SNIP (Source Normalised Impact per Paper): 2018 = 0.715; WoS Impact Factor: 2017 = 0.581 (2) - 2017=0.902 (5)
Citation count*5 (2020-09-10)
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* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
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