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Bond Market Dynamics in East Asian Countries

박진관|Yunxiao Liu|김중혁
한국재무관리학회 (Korea Financial Management Association)|2015.09|재무관리연구 (THE KOREAN JOURNAL OF FINANCIAL MANAGEMENT)|제32권 제3호|pp. 143-177|DOI 10.22510/kjofm.2015.32.3.006

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참고문헌

키워드

Volatility SpilloverDynamic Conditional CorrelationBond Markets in East AsiaCo-IntegrationReturn Spillover
주제분류경영학

초록

This study investigates the degree of interdependencies among seven individual East Asian bond markets and the U.S. market. Results based on co-integration analysis and GJR-DCC-GARCH model suggest that: (i) there is no long-run co-integration relationship between any bond market pairs in the sample; (ii) the East Asian bond markets, however, show interdependencies in the short-run. Significant information spillover effects are identified at both return and volatility level between country pairs, although the degrees of the effects vary; (iii) the decoupling and recoupling phenomenon of the conditional correlations also exists in the bond markets during and after the recent global financial crisis. Moreover, we find there is significant increase in time-varying conditional correlations between East Asian bond market pairs (thirteen out of twenty one) after the crisis period. Overall, these results indicate that the integration in East Asian bond markets is still at its early stage compared to European markets, but is moving towards a more integrated market.

Abstract

This study investigates the degree of interdependencies among seven individual East Asian bond markets and the U.S. market. Results based on co-integration analysis and GJR-DCC-GARCH model suggest that: (i) there is no long-run co-integration relationship between any bond market pairs in the sample; (ii) the East Asian bond markets, however, show interdependencies in the short-run. Significant information spillover effects are identified at both return and volatility level between country pairs, although the degrees of the effects vary; (iii) the decoupling and recoupling phenomenon of the conditional correlations also exists in the bond markets during and after the recent global financial crisis. Moreover, we find there is significant increase in time-varying conditional correlations between East Asian bond market pairs (thirteen out of twenty one) after the crisis period. Overall, these results indicate that the integration in East Asian bond markets is still at its early stage compared to European markets, but is moving towards a more integrated market.

참고문헌 (42)

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