CAPITAL MARKET INTEGRATION Evaluation and Measurement: Sovereign Bond Market
| Thesis title: | CAPITAL MARKET INTEGRATION Evaluation and Measurement: Sovereign Bond Market |
|---|---|
| Author: | Víťazka, Peter |
| Thesis type: | Diploma thesis |
| Supervisor: | Klosová, Anna |
| Opponents: | - |
| Thesis language: | English |
| 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. |
| Keywords: | cointegration; capital market integration; yield spreads; sigma-convergence |
| Thesis title: | Capital Market Integration. Evaluation and measurement: Risk-premium test |
|---|---|
| Author: | Víťazka, Peter |
| Thesis type: | Diplomová práce |
| Supervisor: | Klosová, Anna |
| Opponents: | - |
| Thesis language: | English |
| 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. |
| Keywords: | yield spreads; cointegration; capital market integration; sigma-convergence |
Information about study
| Study programme: | Economics of Globalisation and European Integration |
|---|---|
| Type of study programme: | Magisterský studijní program |
| Assigned degree: | Ing. |
| Institutions assigning academic degree: | Vysoká škola ekonomická v Praze |
| Faculty: | Faculty of International Relations |
| Department: | Faculty of International Relations |
Information on submission and defense
| Date of assignment: | 12. 3. 2013 |
|---|---|
| Date of submission: | 30. 9. 2013 |
| Date of defense: | 22. 10. 2013 |
| Identifier in the InSIS system: | https://insis.vse.cz/zp/43604/podrobnosti |