| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 91 === According to the literature about stock market and exchange rate market, there are a lot of related studies on overreaction, under-reaction, and uncertain information hypothesis. As we know, bond index exists in our daily life, is a very important finance-managing tool; however, none of the literature is about the efficiency of bond index focusing on the global main financial market. This paper will expand the research range and exam the previous predict ability of bond return. The data will take MSCI Bond Indices from Datastream, taking G7 and emerging market (i.e. Czech Republic, Hungary, Poland, and South Africa) as the case study of efficiency of bond index. Then I will cut the daily return of bond index between the rise and fall to discuss the investment behavior of bond index, i.e. exam whether the bond index is suitable for the efficiency hypothesis.
This paper uses event study, testing the efficiency of bond market in 11 countries. As a result, I find out in the short period of time (10 days) England, America, Canada, Japan, Italy, Czech Republic, Hungary, Poland fit the hypothesis of under-reaction. In the long period of time (30 days), England, America, Canada, Japan and Italy fit the hypothesis of under-reaction. We can find out in the long period of time, none of the emerging countries fit the hypothesis of under-reaction; moreover, countries such as France, Germany, South Africa do not fit any hypothesis whether in the long or short time.
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