An Empirical Study of Investment and Relationships of International Bond Markets

• Main Authors: Jiun-Hung Liou, 林錦華
• Other Authors: Cheng, Yen-Shin
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/a6ze95

碩士 === 國立高雄應用科技大學 === 金融系金融資訊碩士在職專班 === 106 === We examined on the relationships between fixed-income bond variables and Federal Funds rates， 10-year government bonds， investment grade bonds， high yield bonds， as well as emerging market bond， by using the methods of Unit root test， Johansen co-integration test， vector error correction model (VECM)， Granger Causality Test， and Vector Auto-regression (VAR)， to check respectively if the relationships stayed balance in the long term， and furthermore， to analyze all the contemporary adjustment of those unbalanced variations and explore the sequence analysis： Bond Market， Causality Test， Vector Auto-regression those factors. The results we found were shown as followed， 1. Engle-Granger: there was a long run co-integration among all the variations per the stand of maximum eigenvalue test and trace test 2. Granger Causality Test: there were bidirectional granger causal relations among the six variations， say 10-year government bonds and investment grade bonds， 10- year government bonds and emerging market bonds ， high yield bonds and investment grade bonds， investment grade bonds and emerging market bonds， and high yield bonds and emerging market bonds. Federal fund rates had a unidirectional impact on 10-year government bonds， and there wasn’t any granger causal relationship among the three relevancies of federal fund rates and investment grade bonds， federal fund rates and high yield bonds， and federal fund rates and emerging market bonds. 3. Estimate and analysis error variance: the degree of self-explanation ranks from 99%， federal fund rates， 96%， high yield bonds， and 95%， 10-year government bonds， respectively， which suggested that those three parameters embedded the strongest exogenous variables. While the law self-explanation of emerging market bonds stayed around 62% which revealed that the bonds were involved more with other factors.