Diversifying Market and Default Risk in High Grade Sovereign Bond Portfolios

Brennan, Myles; Kobor, Adam; Rustaman, Vidhya

doi:10.2139/ssrn.1871067

Cited by 3 publications

(2 citation statements)

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“…The efficient market hypothesis (EMH) suggests that financial assets should reflect rationality in terms of their prices (Fama, 1960). However, markets have become increasingly interconnected internationally due to globalization, unrestricted movement of money, and increased correlation between financial markets of developed and developing nations (Brennan et al, 2011;Zhang et al, 2020). Herding behaviour may emerge due to the widespread availability of free information to a diverse group of investors, luring investors into dangerous ventures without a thorough knowledge of the related risks and benefits (White, 2002).…”

Section: Introductionmentioning

confidence: 99%

Examining Financial Market Spillover and Portfolio Diversification in India during the COVID-19 Pandemic

Rao

2023

Abhigyan

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Section: Introductionmentioning

confidence: 99%

Examining Financial Market Spillover and Portfolio Diversification in India during the COVID-19 Pandemic

Rao

2023

Abhigyan

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“…Even though the government bond market comovements has been confirmed in multiple markets (in Asian countries by Battern et al (2004); in G7 countries by Manganelli and Wolswijk (2009); or in EMU countries by Abad et al (2009), Brennan et al (2011)), the factors, influencing these comovements are still questioned. If the factors, influencing government bond market comovements, are specific to every country, can the national governments be responsible for controlling them?…”

Section: Introductionmentioning

confidence: 99%

Global Factors Influencing Government Bond Market Comovements

Aleknevičiūtė

2016

Science and Studies of Accounting and Finance: Problems and Perspectives

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The aim of this theoretical paper is to discuss the researches implemented in government bond and other financial markets, and to identify the most important global factors, influencing government bond market comovements. Even though, there exist various groups of factors, influencing government bond markets, this research is concentrated in the existence of global factors. If the influence of these factors is significant, investors cannot hedge from this influence by diversifying. The research in this paper is implemented by using the analysis, synthesis and systemization of the researches and other scientific literature. This research uses a novel approach by excluding and the most common global factors, influencing government bond market comovements and discussing the measures to assess the influence of these factors on the comovements. The research resulted in identification of 5 global factors, most commonly disclosed by other researchers as influencing government bond market comovements: global risk aversion, global market portfolio, money market uncertainty, commodity market uncertainty and economic policy uncertainty, with the most important factor being global risk aversion. The existence of these factors reduces the benefits from international diversification: if the markets are strongly influence by the same global factors, the deterioration of these factors will influence the investment portfolio in the same way.

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