IDEAS home Printed from https://ideas.repec.org/a/spt/apfiba/v2y2012i6f2_6_3.html
   My bibliography  Save this article

An Empirical Analysis of the Bond Market Behavior and Cointegration in the Selected APEC’s Countries

Author

Listed:
  • Chu V. Nguyen

Abstract

This article examines the behavior of Treasury bond rates in Asia-Pacific Economic Cooperation’s countries. Granger causality tests based on the vector error correction model (VECM) suggest bidirectional Granger causalities between changes in (i) the Canadian and Malaysian Treasury bond rates, (ii) the Canadian and New Zealand bond rates, (iii) the US and Malaysian Treasury bond rates, and (iv) the South Korean and Malaysian Treasury bond rates. The results also reveal unidirectional Granger causalities from changes in (i) the Canadian to US Treasury bond rates, (ii) the South Korean to New Zealand and US Treasury bond rates, (iii) the Malaysian to New Zealand and Thai Treasury bond rates, (iii) the Thai to New Zealand and South Korean Treasury bond rates, and (iv) the US to New Zealand Treasury bond rates. The Granger causality test based on the augmented vector autoregressive (VAR) procedure yields largely similar results from VECM. These empirical findings may be attributable to differences in economic policies, governance, culture, and other institutional arrangements in each of these countries. The empirical results are important for investors and traders since they can use past information in one country to predict prices and returns in the future in other countries.

Suggested Citation

  • Chu V. Nguyen, 2012. "An Empirical Analysis of the Bond Market Behavior and Cointegration in the Selected APEC’s Countries," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 2(6), pages 1-3.
  • Handle: RePEc:spt:apfiba:v:2:y:2012:i:6:f:2_6_3
    as

    Download full text from publisher

    File URL: http://www.scienpress.com/Upload/JAFB%2fVol%202_6_3.pdf
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spt:apfiba:v:2:y:2012:i:6:f:2_6_3. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Eleftherios Spyromitros-Xioufis (email available below). General contact details of provider: http://www.scienpress.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.