The Correlation between High-Yield Bonds in Asia and Asian Countries Stock and Currency Markets – Case Study of JP Morgan Asia Credit Index as Example

• Main Authors: Yang,Ya-Ting, 楊雅婷
• Other Authors: Tsai, Wei-Pen
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/38287374894582792138

碩士 === 輔仁大學 === 金融與國際企業學系金融碩士班 === 100 === The study is to look into the relationship between Asia high yield bonds and the stock and currency exchange market in eleven Asian countries. We proceed empirical study by adopting JP Morgan JACI and stock and currency exchange market data of developed countries in Asia of Japan, HK, Singapore, Korea, and developing countries of China, Indonesia, India, Malaysia, Philippine, Thailand, and Taiwan. The date studied started from Jan 2007 to Dec 2011,which then examined with ADF unit root test, Granger test, vector self-regression model, and decomposition prediction inaccuracy variance. Finally, the empirical results indicate dual direction.Casuality effect between JP Morgan JACI and stock index of Japan, Singapore, Korea, Indonesia, India, Malaysia, Philippine, Thailand, and Taiwan. Besides, the fluctuation of yen, Singapore dollar, Korean Huan, Ringgit Malaysia is the explanation factors of JACI. There is dual direction contribution between JACI and India Rupiah, Philippine peso. we also found that the rate of return of the JP Morgan Asia Credit Index can be used as a leading indicator of stock index.