 Correlations across Asia-Pacific bond markets and the impact of capital flow management measuresPornpinun Chantapacdepong and Ilhyock Shim Pacific-Basin Finance Journal, 2015, vol. 34, issue C, 71-101 Abstract: Using a novel database on capital flow management measures in Asia over 2004–2013, we investigate the impact of bond inflow management measures on the cross-market correlations of weekly bond fund flows and of daily bond returns in 12 Asia-Pacific economies, after controlling for global, regional and local factors. We find that a bond inflow management measure taken by a country tends to increase the correlation of bond flows into the country with those into other countries in the region. In particular, a country’s policy actions to loosen (ie increase) bond inflows significantly increase bond flow correlations, but policy actions to tighten (ie decrease) bond inflows have no significant impact. We also find that bond inflow management measures increase bond return correlations in the long run. These results can be explained by the signalling hypothesis, under which global investors expect that when a country takes a bond inflow management measure other countries to take similar actions, so that they increase or decrease their investment in the region at the same time. Keywords: Bond flow; Bond return; Cross-market correlation; Capital flow management measure (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:34:y:2015:i:c:p:71-101 DOI: 10.1016/j.pacfin.2015.05.005 Access Statistics for this article Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee More articles in Pacific-Basin Finance Journal from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.