کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5087689 | 1375449 | 2008 | 16 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Interdependencies among Asian bond markets Interdependencies among Asian bond markets](/preview/png/5087689.png)
There is an ongoing intraregional attempt to develop bond markets in Asia. This is to some extent a result of the Asian financial crisis, which showed the need for well-functioning fixed income markets in the region. This paper analyzes the relationships among four Asian bond markets. Cointegration tests show that the markets exhibit strong long-term interdependencies. In addition, all markets show signs of short-run cross-dependencies in the mean. The correlations between the markets are time-varying and high, except for in short turbulent periods. The results indicate that a regional bond portfolio would allow for some level of risk diversification for investors and that policymakers need to pay attention to movements in different markets.
Journal: Journal of Asian Economics - Volume 19, Issue 2, April 2008, Pages 101-116