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題名 Excess volatility and market efficiency in government bond markets: the ASEAN-5 context
作者 林士貴
Lin, Shih-Kuei
Liao , Szu-Lang
Wong, Shao-Jye
Tang, Kin-Boon
貢獻者 金融系
關鍵詞 Excess volatility ;  Efficient market hypothesis ;  Government bonds ;  Panel analysis ;  Wavelet coherence
日期 2020-02
上傳時間 21-一月-2021 09:34:00 (UTC+8)
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.
關聯 Journal of Asset Management, 21, 154–165
資料類型 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 21-一月-2021 09:34:00 (UTC+8)-
dc.date.available 21-一月-2021 09:34:00 (UTC+8)-
dc.date.issued (上傳時間) 21-一月-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