A multi country study of co-integration on bonds yields in selected five Asia Pacific countries.
In this paper, we study the dynamic relationship of bond yields in Malaysia, Singapore, Thailand, India, and Japan by using 43 observations for the period of 2007 to July 2010. This study analyzes the government bond returns and the yields curve for the five countries with different term to maturity...
| Main Authors: | , , |
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| Format: | Book Section |
| Language: | English |
| Published: |
Universiti Putra Malaysia Press
2012
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| _version_ | 1825925919506694144 |
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| author | Cheng, Fan Fah Md Nasir, Annuar Ang, Gaik Gee |
| author2 | Cheng, Fan Fah |
| author_facet | Cheng, Fan Fah Cheng, Fan Fah Md Nasir, Annuar Ang, Gaik Gee |
| author_sort | Cheng, Fan Fah |
| collection | UPM |
| description | In this paper, we study the dynamic relationship of bond yields in Malaysia, Singapore, Thailand, India, and Japan by using 43 observations for the period of 2007 to July 2010. This study analyzes the government bond returns and the yields curve for the five countries with different term to maturity of 2 years, 5 years, 10 years, 15 years, and 20 years. The results indicate that the yields on government bond for the five countries are all consistent with the term structure of interest rate theory where the yields to maturity increase as the term to maturity increase during the period of 2007 to 2010. There is also evidence supporting the yields to maturity for all five countries are significantly stationary at order one or I(1). Moreover, the finding also show that there are a few groups of countries was found co-integration with one vector. In long run, the result find that between the group of countries, Malaysia and India, Singapore and Thailand, and Singapore and India, the bond returns for the 15 years term to maturity are co-integrated with at least one co-integrating vectors. |
| first_indexed | 2024-03-06T08:04:50Z |
| format | Book Section |
| id | upm.eprints-26164 |
| institution | Universiti Putra Malaysia |
| language | English |
| last_indexed | 2024-03-06T08:04:50Z |
| publishDate | 2012 |
| publisher | Universiti Putra Malaysia Press |
| record_format | dspace |
| spelling | upm.eprints-261642015-04-13T02:02:08Z http://psasir.upm.edu.my/id/eprint/26164/ A multi country study of co-integration on bonds yields in selected five Asia Pacific countries. Cheng, Fan Fah Md Nasir, Annuar Ang, Gaik Gee In this paper, we study the dynamic relationship of bond yields in Malaysia, Singapore, Thailand, India, and Japan by using 43 observations for the period of 2007 to July 2010. This study analyzes the government bond returns and the yields curve for the five countries with different term to maturity of 2 years, 5 years, 10 years, 15 years, and 20 years. The results indicate that the yields on government bond for the five countries are all consistent with the term structure of interest rate theory where the yields to maturity increase as the term to maturity increase during the period of 2007 to 2010. There is also evidence supporting the yields to maturity for all five countries are significantly stationary at order one or I(1). Moreover, the finding also show that there are a few groups of countries was found co-integration with one vector. In long run, the result find that between the group of countries, Malaysia and India, Singapore and Thailand, and Singapore and India, the bond returns for the 15 years term to maturity are co-integrated with at least one co-integrating vectors. Universiti Putra Malaysia Press Cheng, Fan Fah Mahat, Fauziah Ab Razak, Nazrul Hisyam 2012 Book Section NonPeerReviewed Cheng, Fan Fah and Md Nasir, Annuar and Ang, Gaik Gee (2012) A multi country study of co-integration on bonds yields in selected five Asia Pacific countries. In: Issues in Banking & Finance. Universiti Putra Malaysia Press, Serdang, Selangor, pp. 34-50. ISBN 9789673442935 English |
| spellingShingle | Cheng, Fan Fah Md Nasir, Annuar Ang, Gaik Gee A multi country study of co-integration on bonds yields in selected five Asia Pacific countries. |
| title | A multi country study of co-integration on bonds yields in selected five Asia Pacific countries. |
| title_full | A multi country study of co-integration on bonds yields in selected five Asia Pacific countries. |
| title_fullStr | A multi country study of co-integration on bonds yields in selected five Asia Pacific countries. |
| title_full_unstemmed | A multi country study of co-integration on bonds yields in selected five Asia Pacific countries. |
| title_short | A multi country study of co-integration on bonds yields in selected five Asia Pacific countries. |
| title_sort | multi country study of co integration on bonds yields in selected five asia pacific countries |
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