國際債券市場整合與債券市場間的交互動態關聯性之實證研究—以新興債券市場為例

The financial integration and dynamic interrelationships of international bond markets: Evidence on emerging bond markets

林芷薐(Chih-Ling Lin)

指導教授 ： 王銘杰 ； 高櫻芬

國立暨南國際大學/管理學院/國際企業學系/博士(2007年)

摘要

本論文旨在探討美國債券市場與新興債券市場之間的報酬與波動傳導機制及其動態關聯性。主要研究方法係採用GJR-GARCH(1,1)-M 模型來分析債券市場間的資訊傳導機制及動態關聯性，模型考慮動態相關結構及波動不對稱效果。此外，加入世界因子與本地因子對新興債市報酬的影響，藉以探究債券市場整合的程度。同時探討債市報酬在高度波動時期，是否大幅減損投資組合風險分散效果。研究採用之樣本國家包含亞洲、拉丁美洲及歐洲等共15個國家。研究結果顯示，美國債券市場對於巴西、哥倫比亞、委內瑞拉、中國、馬來西亞、南韓、波蘭及俄羅斯具有指標性效果。美國債市對新與市場存在報酬及波動傳導，但報酬的傳導機制較波動傳導機制弱，另外，新與債券市場存在波動不對稱效果。在變數的影響方面，結果顯示美國殖利率曲線的變化及歐洲美元利率對新興市場債券較具有解釋力，整體而言，新興市場與美國市場之間具有部份整合現象。根據相關性研究我們發現大部份的債券市場在面臨美國債市及本國市場高度波動時期，美國與各個新興市場之間的動態相關性皆未呈現重大的變化，顯示國際債券市場投資組合的風險分散效果並未因報酬的高度波動時期而受到嚴重的減損效果。

關鍵字

新興債券市場 ； 波動外溢效果 ； 動態關聯性 ； 風險分散效益

並列摘要

The objective of this study is to examine the dynamic interrelationships between US and fifteen emerging bond markets in terms of return, volatility transmission mechanism and dynamic correlation. The analysis is carried out through GJR-GARCH (1,1)-M model allowing for dynamic covariance structure and asymmetric effect. In addition, the impact of global and local factors on emerging bond market returns is considered to explore the integration between US and selected fifteen emerging bond markets. Also we examine the benefit of international bond diversification during the extremely high return volatility period. The empirical results indicate the return spillovers between US and emerging bond markets are weaker than the volatility spillovers between US and emerging bond markets, and the volatility asymmetric effect exist in emerging bond markets, in other word, the negative shocks have greater impact in the volatility than positive innovations. The US bond market leads several emerging bond markets, especially leading the mean and volatility of the bond market for Brazil, Colombia, Venezuela, China, Malaysia, South Korea, Poland, and Russia. Furthermore, the slope of yield curve of US bond market and the Eurodollar interest rate reveal the better explanatory for the most of emerging market bond returns. Overall, most emerging bond market appears partially integration into US bond market. The findings also indicate the benefits of international diversification are not diminished sharply during the extreme high volatility period in both US and own market bond markets.

並列關鍵字

Emerging bond markets ； Volatility spillover ； Dynamic interrelationship ； Diversification benefits

參考文獻

REFERENCE

Arora, V., and Cerisola, M. (2001) “How does U.S. monetary policy influence sovereign spreads in emerging markets?”, IMF Staff Papers,48, pp. 474-498.

Alonso, F., Blanco, R., Del Rio, A. and Sanchis, A. (2004) “Estimating liquidity premia in the Spanish government securities market”, European Journal of Finance, 10, pp. 453-474.

Barr, D.O., and Priestly, R. (2004) “Expected returns, risk and the integration of international bond markets”, Journal of International Money and Finance, 23, pp71-97.

Batten, J., Fetherston, T. and P. Hoontrakul. (2006) “Factors affecting the yields of emerging market issuers in international bond markets: Evidence from the Asia Pacific Region”, Journal of International Financial Markets, Institutions & Money, 16, pp57-70.