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Interdependencies among Asian bond markets

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  • Johansson, Anders C.

Abstract

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.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Asian Economics.

Volume (Year): 19 (2008)
Issue (Month): 2 (April)
Pages: 101-116

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Handle: RePEc:eee:asieco:v:19:y:2008:i:2:p:101-116

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Web page: http://www.elsevier.com/locate/asieco

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Citations

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Cited by:
  1. Johansson, Anders C., 2009. "Asian Sovereign Debt and Country Risk," Working Paper Series 2009-11, China Economic Research Center, Stockholm School of Economics.
  2. Johansson, Anders C., 2010. "Stock and Bond Relationships in Asia," Working Paper Series 2010-14, China Economic Research Center, Stockholm School of Economics.
  3. Ojah, Kalu & Pillay, Kishan, 2009. "Debt markets and corporate debt structure in an emerging market: The South African example," Economic Modelling, Elsevier, vol. 26(6), pages 1215-1227, November.
  4. Duc Khuong Nguyen & Mohamed Arouri & Amine Lahiani, 2011. "Return and volatility transmission between world oil prices and stock markets of the GCC countries," EcoMod2011 2820, EcoMod.
  5. Johansson, Anders C., 2010. "Financial Markets in East Asia and Europe during the Global Financial Crisis," Working Paper Series 2010-13, China Economic Research Center, Stockholm School of Economics.

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