Relationship between government bond markets in EU countries

Abstract

This article is evaluating the relationship between government bond markets in EU countries in 1993-2013. The results show that government bond markets in EU countries during the research period were not as strongly related as they were expected to be leaving some place for benefiting from portfolio diversification. The biggest differences were obtained between the old and new EU member state government markets and also the ones that suffered major financial difficulties during the research period. Despite of that, some EU government bond market indices were almost linearly and statistically significantly related with each other, indicating that diversification between those markets could not be beneficial