A Note on the Equilibrium Relationships between Issuers in the Asia Pacific Region

Jonathan Batten, Thomas A. Fetherston and Pongsak Hoontrakul

A chapter in Asia Pacific Financial Markets in Comparative Perspective: Issues and Implications for the 21st Century, 2005, pp 167-176 from Emerald Group Publishing Limited

Abstract: We investigate the relationships between the sovereign bonds issued in international markets by major Asia-Pacific issuers (China, Korea, Malaysia, Philippines and Thailand) and various benchmark US Treasury bonds (2, 5, 10 and 30 year maturities). The results suggest that the equilibrium relationship holds only between pairs of bonds of equivalent credit status. The dynamics of these processes highlight aggregation issues for portfolio managers constructing portfolios of sovereign Asian bonds of different credit ratings.

Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:eme:csefzz:s1569-3759(05)86008-5

DOI: 10.1016/S1569-3759(05)86008-5

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