Two centuries of global financial market integration: Equities, government bonds, treasury bills, and currencies
Adam Zaremba , George D. Kambouris , Andreas Karathanasopoulos
AbstractWe 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.
|Journal series||Economics Letters, ISSN 0165-1765, e-ISSN 1873-7374, (N/A 100 pkt)|
|Publication size in sheets||0.5|
|Keywords in Polish||integracja rynków finansowych, rynki globalne, analiza czynnikowa, wczesne dane rynkowe|
|Keywords in English||Financial market integration, Global markets, Factor analysis, Early asset data|
|Score||= 100.0, 06-04-2020, ArticleFromJournal|
|Publication indicators||= 1; : 2018 = 0.715; : 2017 = 0.581 (2) - 2017=0.902 (5)|
|Citation count*||5 (2020-09-10)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.