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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/133637

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/133637

Title:	Excess volatility and market efficiency in government bond markets: the ASEAN-5 context
Authors:	林士貴 Lin, Shih-Kuei Liao , Szu-Lang Wong, Shao-Jye Tang, Kin-Boon
Contributors:	金融系
Keywords:	Excess volatility; Efficient market hypothesis; Government bonds; Panel analysis; Wavelet coherence
Date:	2020-02
Issue Date:	2021-01-21 09:34:00 (UTC+8)
Abstract:	This study examines the presence of excess volatility and market efficiency in government bond markets of ASEAN-5 member countries. The individual country-level bond volatility is verified using an AR-GARCH model with a multivariate extension of panel approach to examine the effects of international diversification. Wavelet coherence is employed to present visually the co-movement between the bond prices in a time–frequency space. The empirical results indicate that the presence of excess volatility is found in all countries. In addition, the findings from the panel analysis reveal evidence of market inefficiency in government bonds but lower excess volatility in the 10-year bond. There is also a large difference of magnitude in excess volatility, suggesting that the ASEAN-5 bond market is inefficient in individual markets. Excess volatility is less persistent regionally with low correlations, implying that balanced portfolios would greatly benefit from international diversifications. The results from the wavelet coherence analysis imply that investment in ASEAN bond prices may yield lower risk reduction for long horizon.
Relation:	Journal of Asset Management, 21, 154–165
Data Type:	article
DOI 連結:	https://doi.org/10.1057/s41260-020-00154-5
DOI:	10.1057/s41260-020-00154-5
Appears in Collections:	[金融學系] 期刊論文

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