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Assessing Bond Market Integration in Asia

Author

Listed:
  • Ip-wing Yu

    (Research Department, Hong Kong Monetary Authority)

  • Laurence Fung

    (Research Department, Hong Kong Monetary Authority)

  • Chi-sang Tam

    (Research Department, Hong Kong Monetary Authority)

Abstract

Development of the local bond markets has been a top priority for financial reforms in the region after the Asian financial crisis. Various initiatives have also been taken to foster the development of the regional bond market. This paper looks into the degree of integration of sovereign (government) bond markets in Asia. It provides a survey of indicators and measures to monitor the development, measure progress and assess the state of bond market integration in the region. Our empirical results broadly show that there is only weak bond market integration in the region and very little progress has taken place since 2003. The apparent lack of progress may be due to the "local" or "idiosyncratic" factors in some Asian economies.

Suggested Citation

  • Ip-wing Yu & Laurence Fung & Chi-sang Tam, 2007. "Assessing Bond Market Integration in Asia," Working Papers 0710, Hong Kong Monetary Authority.
    • Handle: RePEc:hkg:wpaper:0710
    as

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    File URL: http://www.info.gov.hk/hkma/eng/research/working/pdf/HKMAWP07_10_full.pdf
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    Citations

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    Cited by:

    1. Arshad HASSAN* & Muhammad Tariq JAVED**, 2010. "Relationships Among Equity Markets of Emerging OIC Economies," Pakistan Journal of Applied Economics, Applied Economics Research Centre, vol. 20, pages 29-46.
    2. Chantapacdepong, Pornpinun & Shim, Ilhyock, 2015. "Correlations across Asia-Pacific bond markets and the impact of capital flow management measures," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 71-101.
    3. Mr. Masafumi Yabara, 2012. "Capital Market Integration: Progress Ahead of the East African Community Monetary Union," IMF Working Papers 2012/018, International Monetary Fund.
    4. Bank for International Settlements, 2008. "Measuring economic integration: the case of Asian economies," BIS Papers chapters, in: Bank for International Settlements (ed.), Regional financial integration in Asia: present and future, volume 42, pages 136-158, Bank for International Settlements.
    5. Bank for International Settlements, 2008. "Assessing the integration of Asia's equity and bond markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Regional financial integration in Asia: present and future, volume 42, pages 1-37, Bank for International Settlements.
    6. Abdul Karim, Bakri & Abdul Majid, M. Shabri & Abdul Karim, Samsul Ariffin, 2009. "Financial Integration between Indonesia and Its Major Trading Partners," MPRA Paper 17277, University Library of Munich, Germany.
    7. Masao Kumamoto & Juanjuan Zhuo, 2020. "Government Bond Market Integration in ASEAN Countries," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 10(3), pages 289-312, March.
    8. Bakri Abdul Karim & M. Shabri Abd. Majid, 2010. "Does trade matter for stock market integration?," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 27(1), pages 47-66, March.
    9. Kin-Boon Tang & Shao-Jye Wong & Shih-Kuei Lin & Szu-Lang Liao, 2020. "Excess volatility and market efficiency in government bond markets: the ASEAN-5 context," Journal of Asset Management, Palgrave Macmillan, vol. 21(2), pages 154-165, March.
    10. Yin-Wong Cheung & Matthew S. Yiu & Kenneth K. Chow, 2009. "A Factor Analysis of Trade Integration: the Case of Asian and Oceanic Economies," Economie Internationale, CEPII research center, issue 119, pages 5-23.

    More about this item

    Keywords

    Financial integration; Kalman filter; Cointegration; Synchronisation; Dynamic correlation;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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