Publications-Periodical Articles
Article View/Open
Publication Export
Google ScholarTM
NCCU Library
Citation Infomation
-
No data in Web of Science(Wrong one)Loading...
Related Publications in TAIR
| Title | Excess volatility and market efficiency in government bond markets: the ASEAN-5 context |
| Creator | 林士貴 Lin, Shih-Kuei Liao , Szu-Lang Wong, Shao-Jye Tang, Kin-Boon |
| Contributor | 金融系 |
| Key Words | Excess volatility ; Efficient market hypothesis ; Government bonds ; Panel analysis ; Wavelet coherence |
| Date | 2020-02 |
| Date Issued | 21-Jan-2021 09:34:00 (UTC+8) |
| Summary | This study examines the presence of excess volatility and market efficiency in government bond markets of ASEAN-5 member countries. The individual country-level bond volatility is verified using an AR-GARCH model with a multivariate extension of panel approach to examine the effects of international diversification. Wavelet coherence is employed to present visually the co-movement between the bond prices in a time–frequency space. The empirical results indicate that the presence of excess volatility is found in all countries. In addition, the findings from the panel analysis reveal evidence of market inefficiency in government bonds but lower excess volatility in the 10-year bond. There is also a large difference of magnitude in excess volatility, suggesting that the ASEAN-5 bond market is inefficient in individual markets. Excess volatility is less persistent regionally with low correlations, implying that balanced portfolios would greatly benefit from international diversifications. The results from the wavelet coherence analysis imply that investment in ASEAN bond prices may yield lower risk reduction for long horizon. |
| Relation | Journal of Asset Management, 21, 154–165 |
| Type | article |
| DOI | https://doi.org/10.1057/s41260-020-00154-5 |
| dc.contributor | 金融系 | |
| dc.creator (作者) | 林士貴 | |
| dc.creator (作者) | Lin, Shih-Kuei | |
| dc.creator (作者) | Liao , Szu-Lang | |
| dc.creator (作者) | Wong, Shao-Jye | |
| dc.creator (作者) | Tang, Kin-Boon | |
| dc.date (日期) | 2020-02 | |
| dc.date.accessioned | 21-Jan-2021 09:34:00 (UTC+8) | - |
| dc.date.available | 21-Jan-2021 09:34:00 (UTC+8) | - |
| dc.date.issued (上傳時間) | 21-Jan-2021 09:34:00 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/133637 | - |
| dc.description.abstract (摘要) | This study examines the presence of excess volatility and market efficiency in government bond markets of ASEAN-5 member countries. The individual country-level bond volatility is verified using an AR-GARCH model with a multivariate extension of panel approach to examine the effects of international diversification. Wavelet coherence is employed to present visually the co-movement between the bond prices in a time–frequency space. The empirical results indicate that the presence of excess volatility is found in all countries. In addition, the findings from the panel analysis reveal evidence of market inefficiency in government bonds but lower excess volatility in the 10-year bond. There is also a large difference of magnitude in excess volatility, suggesting that the ASEAN-5 bond market is inefficient in individual markets. Excess volatility is less persistent regionally with low correlations, implying that balanced portfolios would greatly benefit from international diversifications. The results from the wavelet coherence analysis imply that investment in ASEAN bond prices may yield lower risk reduction for long horizon. | |
| dc.format.extent | 124 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | Journal of Asset Management, 21, 154–165 | |
| dc.subject (關鍵詞) | Excess volatility ; Efficient market hypothesis ; Government bonds ; Panel analysis ; Wavelet coherence | |
| dc.title (題名) | Excess volatility and market efficiency in government bond markets: the ASEAN-5 context | |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.1057/s41260-020-00154-5 | |
| dc.doi.uri (DOI) | https://doi.org/10.1057/s41260-020-00154-5 |