Burcu Erdogan - Analyzing Convergence/Divergence in European Financial Markets

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Über das Buch

- in englischer Sprache -

Zum Inhalt

The European Union implemented significant financial reforms in order to facilitate financial integration since the beginning of the 1980s. With the introduction of the euro, the process of integrating financial markets accelerated. All the restructuring efforts reflect an expectation of positive effects from a single financial market in the European Union. However, an interconnected financial system creates challenges as well. It is crucial to investigate the process of financial integration in different market segments individually in order to take full advantage of it while, at the same time, circumventing potential hazards.

At this point, one needs some tools to measure the degree of financial integration in the EU. In this study, the author employs price-based methods as the means to show implications of the direction of financial integration. The author tests for price convergence in European equity markets in order to quantify the direction of market integration at both the aggregate and sectoral levels. In addition, the author investigates the sovereign bond yield differentials that reappeared with the outbreak of the financial crisis in 2007 following a period of convergence when the euro was introduced. She performs her analysis in a time-varying framework in view of the dynamic path of altering pricing behaviour in financial markets. Further, a methodological contribution to the literature by applying new methods to financial data is offered, namely beta- and sigma-convergence approaches, a nonlinear factor model and a semiparametric fixed effects panel data model with time-varying coefficients. [...]

Schlagworte

Volkswirtschaftslehre, Finanzmärkte, Financial Integration, Convergence / Divergence Analysis, EU, Stock Markets, Factor Model, Sovereign Bond Markets, T-Convergence, Semiparametric Time-Varying Coefficient Model

  • Autor*in
    Burcu Erdogan
  • Seiten
    162
  • Zusatzinfos
    - in englischer Sprache -
  • Jahr
    Hamburg 2011
  • ISBN
    978-3-8300-6125-0
  • Schriftenreihe
    Schriftenreihe volkswirtschaftliche Forschungsergebnisse
  • ISSN
    1435-6872
  • Band
    173
  • Fachbereich
    Wirtschaft

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