Comovements in government bond markets: A minimum spanning tree analysis

Claire G. Gilmore, Brian Lucey and Marian W. Boscia

Physica A: Statistical Mechanics and its Applications, 2010, vol. 389, issue 21, 4875-4886

Abstract: The concept of a minimum spanning tree (MST) is used to study patterns of comovements for a set of twenty government bond market indices for developed North American, European, and Asian countries. We show how the MST and its related hierarchical tree evolve over time and describe the dynamic development of market linkages. Over the sample period, 1993–2008, linkages between markets have decreased somewhat. However, a subset of European Union (EU) bond markets does show increasing levels of comovements. The evolution of distinct groups within the Eurozone is also examined. The implications of our findings for portfolio diversification benefits are outlined.

Keywords: Government bonds; Comovement; Minimum spanning trees (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (47)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:389:y:2010:i:21:p:4875-4886

DOI: 10.1016/j.physa.2010.06.057

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