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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.

Suggested Citation

  • Johansson, Anders C., 2008. "Interdependencies among Asian bond markets," Journal of Asian Economics, Elsevier, vol. 19(2), pages 101-116, April.
  • Handle: RePEc:eee:asieco:v:19:y:2008:i:2:p:101-116
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    Cited by:

    1. 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.
    2. Johansson, Anders C., 2010. "Asian sovereign debt and country risk," Pacific-Basin Finance Journal, Elsevier, vol. 18(4), pages 335-350, September.
    3. Takashi Matsuki, 2016. "Linear and nonlinear comovement in Southeast Asian local currency bond markets: a stepwise multiple testing approach," Empirical Economics, Springer, vol. 51(2), pages 591-619, September.
    4. Anders C. Johansson, 2011. "Financial Markets in East Asia and Europe during the Global Financial Crisis," The World Economy, Wiley Blackwell, vol. 34, pages 1088-1105, July.
    5. Meng, Jingjing, 2016. "Asian emerging-market currencies in the international debt market (1994–2014)," Journal of Asian Economics, Elsevier, vol. 42(C), pages 20-32.
    6. repec:eee:reveco:v:51:y:2017:i:c:p:193-213 is not listed on IDEAS
    7. Arouri, Mohamed El Hedi & Lahiani, Amine & Nguyen, Duc Khuong, 2011. "Return and volatility transmission between world oil prices and stock markets of the GCC countries," Economic Modelling, Elsevier, vol. 28(4), pages 1815-1825, July.
    8. Amir Saadaoui & Younes Boujelbene, 2014. "Volatility Transmission between Bond and Stock Markets: Case of Emerging Financial Markets," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 10(6), pages 84-98, December.
    9. Johansson, Anders C., 2010. "Stock and Bond Relationships in Asia," Working Paper Series 2010-14, Stockholm School of Economics, China Economic Research Center.

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