A Study on the Relationships among Asia-Pacific Government Bond Markets.
碩士 === 南華大學 === 財務管理研究所 === 92 === This article bases on portfolio theory to investigate the relationships of government bond markets among Taiwan, Japan, South Korea, Australia and Thailand. As the 1997 Asia Financial Crisis, we separate research period into two parts to understand how it affects...
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ndltd-TW-092NHU053050012015-10-13T13:23:55Z http://ndltd.ncl.edu.tw/handle/40122503387161756202 A Study on the Relationships among Asia-Pacific Government Bond Markets. 亞太地區公債市場關聯性之研究 Yen-hao Chen 陳彥豪 碩士 南華大學 財務管理研究所 92 This article bases on portfolio theory to investigate the relationships of government bond markets among Taiwan, Japan, South Korea, Australia and Thailand. As the 1997 Asia Financial Crisis, we separate research period into two parts to understand how it affects. The research periods used in this study are from September 1993 to September 2003. We use cointegration, VAR and VECM model, Granger causality test, impulse response and variance decomposition techniques to analyze, and obtain the results as following: First, there are long cointegration trends among the five Asia-Pacific markets after 1997 Financial Crisis. Second, VAR and VECM reveal that Japan occupied the leader position in Asia-Pacific region before Financial Crisis while there is one-way effect from Japan to Taiwan after Crisis. There are short-term interactions between Japan and Australia, Korea and Thailand as well. Third, the result of Granger causality test shows that the lead-lag relationships among five countries after Financial Crisis become significantly stronger than before. Fourth, the effects of impulse response among four markets only show temporary effect before crisis, but then gradually persistent and increase after crisis. The accumulative effects of each market are almost positive. Finally, analysis of variance decomposition detects that Japan has greatest interpretative ability in Asia-Pacific region before Financial Crisis but the interpretative abilities among each bond markets become stronger after crisis. This implies that the occurrence of Asia Financial Crisis makes the relationships among Asia-Pacific government bond markets become closer. Ching-Jun Hsu 徐清俊 2004 學位論文 ; thesis 77 zh-TW |
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碩士 === 南華大學 === 財務管理研究所 === 92 === This article bases on portfolio theory to investigate the relationships of government bond markets among Taiwan, Japan, South Korea, Australia and Thailand. As the 1997 Asia Financial Crisis, we separate research period into two parts to understand how it affects. The research periods used in this study are from September 1993 to September 2003. We use cointegration, VAR and VECM model, Granger causality test, impulse response and variance decomposition techniques to analyze, and obtain the results as following:
First, there are long cointegration trends among the five Asia-Pacific markets after 1997 Financial Crisis. Second, VAR and VECM reveal that Japan occupied the leader position in Asia-Pacific region before Financial Crisis while there is one-way effect from Japan to Taiwan after Crisis. There are short-term interactions between Japan and Australia, Korea and Thailand as well. Third, the result of Granger causality test shows that the lead-lag relationships among five countries after Financial Crisis become significantly stronger than before. Fourth, the effects of impulse response among four markets only show temporary effect before crisis, but then gradually persistent and increase after crisis. The accumulative effects of each market are almost positive. Finally, analysis of variance decomposition detects that Japan has greatest interpretative ability in Asia-Pacific region before Financial Crisis but the interpretative abilities among each bond markets become stronger after crisis. This implies that the occurrence of Asia Financial Crisis makes the relationships among Asia-Pacific government bond markets become closer.
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author2 |
Ching-Jun Hsu |
author_facet |
Ching-Jun Hsu Yen-hao Chen 陳彥豪 |
author |
Yen-hao Chen 陳彥豪 |
spellingShingle |
Yen-hao Chen 陳彥豪 A Study on the Relationships among Asia-Pacific Government Bond Markets. |
author_sort |
Yen-hao Chen |
title |
A Study on the Relationships among Asia-Pacific Government Bond Markets. |
title_short |
A Study on the Relationships among Asia-Pacific Government Bond Markets. |
title_full |
A Study on the Relationships among Asia-Pacific Government Bond Markets. |
title_fullStr |
A Study on the Relationships among Asia-Pacific Government Bond Markets. |
title_full_unstemmed |
A Study on the Relationships among Asia-Pacific Government Bond Markets. |
title_sort |
study on the relationships among asia-pacific government bond markets. |
publishDate |
2004 |
url |
http://ndltd.ncl.edu.tw/handle/40122503387161756202 |
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