한국재무관리학회

논문검색

작성자

Yunxiao Liu,김중혁,박진관

첨부파일1

내용

This study investigates the degree of interdependencies among seven individual East Asian bond

markets and the U.S. market. Results based on co-integration analysis and GJR-DCC-GARCH

model suggest that: (i) there is no long-run co-integration relationship between any bond market

pairs in the sample; (ii) the East Asian bond markets, however, show interdependencies in the

short-run. Significant information spillover effects are identified at both return and volatility level

between country pairs, although the degrees of the effects vary; (iii) the decoupling and recoupling

phenomenon of the conditional correlations also exists in the bond markets during and after the

recent global financial crisis. Moreover, we find there is significant increase in time-varying conditional

correlations between East Asian bond market pairs (thirteen out of twenty one) after the crisis

period. Overall, these results indicate that the integration in East Asian bond markets is still at

its early stage compared to European markets, but is moving towards a more integrated market.

Keywords：Bond Markets in East Asia, Co-Integration, Return Spillover, Volatility Spillover, Dynamic

Conditional Correlation

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Bond Market Dynamics in East Asian Countries