| Summary: | 碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 99 === By BIS Quarterly Review, the domestic bonds of emerging countries are mainly government bonds. China's domestic bond issuance in emerging market countries accounted for the largest proportion, followed by Brazil and South Korea. The main bonds of emerging countries(except Asia) are government bonds, and international bond issuance’s ranking in turn are Latin America, Asia, Europe and Africa. In the debt outlook, Moody’s thinks positive about China and Brazil, and stable about Argentina, Mexico, Venezuela, South Korea and Russia. However, Moody’s thinks the outlook of Egypt is negative, and the outlook of Tunisia and Hungary and Greece are under review. By adopting GARCH and TGARCH models, this paper had explored the emerging bond returns and volatilities form January 3,2000 to December 31,2010. The sample country has Argentina, Brazil, Mexico, Venezuela, Russia, South Korea and China.Our empirical findings are as follows, First, the excess return of the emerging bond has a significant effect on changes in global government bond. Second, the excess return of all emerging countries had volatility clustering phenomenon. Third, Brazil and Russias’unexpected volatility had a risk premium.; Finally, there exists volatility asymmetric in Argentina, Brazil, Mexico, Venezuela and China.
|
|---|
