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研究生:林芷薐
研究生(外文):Chih-Ling Lin
論文名稱:國際債券市場整合與債券市場間的交互動態關聯性之實證研究—以新興債券市場為例
論文名稱(外文):The financial integration and dynamic interrelationships of international bond markets: Evidence on emerging bond markets
指導教授:王銘杰王銘杰引用關係高櫻芬高櫻芬引用關係
指導教授(外文):Ming-Chieh WangYin-Feng Gau
學位類別:博士
校院名稱:國立暨南國際大學
系所名稱:國際企業學系
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2007
畢業學年度:95
語文別:英文
論文頁數:86
中文關鍵詞:新興債券市場波動外溢效果動態關聯性風險分散效益
外文關鍵詞:Emerging bond marketsVolatility spilloverDynamic interrelationshipDiversification benefits
相關次數:
  • 被引用被引用:3
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本論文旨在探討美國債券市場與新興債券市場之間的報酬與波動傳導機制及其動態關聯性。主要研究方法係採用GJR-GARCH(1,1)-M 模型來分析債券市場間的資訊傳導機制及動態關聯性,模型考慮動態相關結構及波動不對稱效果。此外,加入世界因子與本地因子對新興債市報酬的影響,藉以探究債券市場整合的程度。同時探討債市報酬在高度波動時期,是否大幅減損投資組合風險分散效果。研究採用之樣本國家包含亞洲、拉丁美洲及歐洲等共15個國家。研究結果顯示,美國債券市場對於巴西、哥倫比亞、委內瑞拉、中國、馬來西亞、南韓、波蘭及俄羅斯具有指標性效果。美國債市對新與市場存在報酬及波動傳導,但報酬的傳導機制較波動傳導機制弱,另外,新與債券市場存在波動不對稱效果。在變數的影響方面,結果顯示美國殖利率曲線的變化及歐洲美元利率對新興市場債券較具有解釋力,整體而言,新興市場與美國市場之間具有部份整合現象。根據相關性研究我們發現大部份的債券市場在面臨美國債市及本國市場高度波動時期,美國與各個新興市場之間的動態相關性皆未呈現重大的變化,顯示國際債券市場投資組合的風險分散效果並未因報酬的高度波動時期而受到嚴重的減損效果。
The objective of this study is to examine the dynamic interrelationships between US and fifteen emerging bond markets in terms of return, volatility transmission mechanism and dynamic correlation. The analysis is carried out through GJR-GARCH (1,1)-M model allowing for dynamic covariance structure and asymmetric effect. In addition, the impact of global and local factors on emerging bond market returns is considered to explore the integration between US and selected fifteen emerging bond markets. Also we examine the benefit of international bond diversification during the extremely high return volatility period. The empirical results indicate the return spillovers between US and emerging bond markets are weaker than the volatility spillovers between US and emerging bond markets, and the volatility asymmetric effect exist in emerging bond markets, in other word, the negative shocks have greater impact in the volatility than positive innovations. The US bond market leads several emerging bond markets, especially leading the mean and volatility of the bond market for Brazil, Colombia, Venezuela, China, Malaysia, South Korea, Poland, and Russia. Furthermore, the slope of yield curve of US bond market and the Eurodollar interest rate reveal the better explanatory for the most of emerging market bond returns. Overall, most emerging bond market appears partially integration into US bond market. The findings also indicate the benefits of international diversification are not diminished sharply during the extreme high volatility period in both US and own market bond markets.
TABLE OF CONTENTS
ACKNOWLEDGEMET IN CHINESE.................................................................................I
ABSTRACT IN CHINESE………………………………………………………………..II
ABSTRACT IN ENGLISH……………………………………………………………….III
TABLE OF CONTENTS IV
LIST OF FIGURES VI
LIST OF TABLES VII
CHAPTER I INTRODUCTION 1
1.1 Research Background and Motivation 1
1.2 Research Scope and Objective 3
1.3 Research Contribution 5
1.4 Organization of the Dissertation 5
CHAPTER II LITERATURE REVIEW 7
2.1 The Development of Emerging Bond Markets 8
2.2 Volatility Transmission Mechanism across Markets 10
2.3 Approaches to Modeling the Volatility and Covariance Transmission 15
CHAPTER III METHODOLOGIES 18
3.1 Test for Time Series Data 19
3.1.1 A White Noise Process-Ljung-Box Q-statistics 19
3.1.2 Unit Root Test 20
3.1.3 ARCH Effect 21
3.2 Model Specification 22
3.2.1 The Basic Model-Simple GARCH(1,1) 22
3.2.2 The GJR-GARCH(1,1)-M Model-Constant Conditional Correlation 24
3.3 Time Varying Correlation Specification 30
3.3.1 The effect of US Exogenous Variables on Correlation Specification 30
3.3.2 The Effect of Extremely High Volatility on Correlation Specification 31
3.4 Parameter Estimation 33
CHAPTER IV EMPIRICAL RESULTS 35
4.1 Data Description 35
4.2 Preliminary findings of bond return series 39
4.3 Empirical Results 44
4.3.1 The Level of Financial Integration 47
4.3.2 Own Market v.s. Cross Market Volatility Spillover Effect 49
4.3.3 Asymmetry Effect from Own bond Market and the US bond Market 52
4.3.4 The Effect of US Exogenous Variable and High Volatility period on Correlation 53
4.4 Model Diagnostic 55
CHAPTER V CONCLUSION 57
REFERENCE 60

LIST OF FIGURES
Figure.1 US portfolio holding of emerging bond (US$) from sample period 1994 to 2006. 67
Figure.2 US portfolio holding of emerging bond from sample period 1994 to 2006. 67
Figure.3 The percentage of US portfolio holdings of emerging bond in the year 2006 68
Figure.4 Top 15 trading partners of US –Trading Value in US dollars 69
Panel A Trading value of all trade in US$ of US with sample countries 69
Panel B Trading value of import in US$ of US with sample countries 69
Panel C Trading value of export in US$ 70
Figure.5 Sample countries include in top 15 trading partners of US-Percentage 71
Panel A All Trade 71
Panel B Import 71
Panel C Export 72
Figure.6 Plot of the total bond return index from 1994 to 2007 73

LIST OF TABLES
Table 4.1 Description Statistics of bond log difference returns 40
Table 4.2a Unconditional correlation of returns: the US and individual emerging market 74
Table 4.2b Unconditional correlation of returns: the US and regional market 74
Table 4.3 The correlation between US related independen varialbes 42
Table 4.4 Cross Correlation between US and emerging bond returns 43
Table 4.5 Diagnostic test for the residuals of log difference bond returns 44
Table 4.6 Estimation of the basic GARCH (1,1) Model 75
Panel A Latin America 75
Panel B Asia 76
Panel C Eastern Europe 77
Table 4.7 Estimation of Bivariate GJR-GARCH (1,1)-M Model with Constant Conditional Correlation 78
Panel A Latin America 78
Panel B Asia 79
Panel C Eastern Europe 80
Table 4.8 Estimation of Bivariate GARCH (1,1)-M Model with Time Varying Correlation 81
Panel A Latin America 81
Panel B Asia 82
Panel C Eastern Europe 83
Table 4.9 Model Diagnostic Statistics on the Standardized Residuals 84
Panel A Latin America 84
Panel B Asia 85
Panel C Eastern Europe 86
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