| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089116 | Journal of Banking & Finance | 2013 | 11 Pages |
Abstract
⺠We analyze financial market integration among five developed countries over 1970-2011. ⺠The degree of integration is allowed to vary over time. ⺠Empirical specification is based on an unobserved components model with GARCH errors. ⺠We find a structural increase in financial market integration in four out of five countries. ⺠All countries also exhibit several shorter periods of disintegration.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Tino Berger, Lorenzo Pozzi,