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A multi country study of co-integration on bonds yields in selected five Asia Pacific countries.

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.

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Abstract

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.

Item Type:Book Section
Keyword:Cointegration; Bond yields; Asia Pacific.
Faculty or Institute:Faculty of Economics and Management
Publisher:Universiti Putra Malaysia Press
ID Code:26164
Deposited By: Nurul Ainie Mokhtar
Deposited On:12 Dec 2013 11:09
Last Modified:13 Apr 2015 10:02

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