Spillover across sovereign bond markets between the US and ASEAN4 economies

Tsang, Andrew; Yiu, Matthew S.; Nguyễn, Huy Hoàng

doi:10.1016/j.asieco.2021.101343

Cited by 11 publications

(4 citation statements)

References 20 publications

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“…Vizek (2019) analysed role of individual sovereign bond markets in international sovereign bond market volatility spillovers using daily data from 19 developed and developing countries and reported amongst others that innovations to the US sovereign bond market have the biggest influence on the return and volatility variance in other sovereign bond markets across the globe. A very recent study by Tsang et al (2021) reported amongst others, evidence of bidirectional bond volatility spillover between the US and the ASEAN4 which include Indonesia, Malaysia, the Philippines and Thailand and a unidirectional spillover in bond return from the US. Thus, provide support to Vizek (2019) that US sovereign bond market influence the global sovereign bond markets.…”

Section: Literature Reviewmentioning

confidence: 99%

How does sovereign bond volatility interact between African countries?

Emenike

2022

JDQS

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The importance of sovereign bond as a source of financing revenue deficit, benchmarking for corporate bonds and debt management in Africa, calls for continual monitoring of its volatility dynamics. This study evaluates the nature of sovereign bond volatility interaction between African countries using bivariate BEKK-GARCH (1, 1) model. Based on a sample of eight African countries, the results show evidence of unidirectional volatility spillover from Morocco sovereign bond to Egypt sovereign bond. Next, the results show absence of volatility interaction between Ghana and Nigeria sovereign bonds. The results further show the existence of bidirectional volatility transmission between Uganda and Kenya. Finally, the results indicate evidence of bidirectional volatility interaction between Botswana and South Africa. Overall, the results show existence of full interaction between Uganda–Kenya and Botswana–South Africa sovereign bond returns, partial interaction between Egypt and Morocco sovereign bond returns and no interaction between Ghana and Nigeria sovereign bonds markets. Thus, these results provide valuable implications for sovereign and corporate credit risk management, as well as strategy for monitoring and minimising negative effect of sovereign bond volatility spillover in Africa.

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Section: Literature Reviewmentioning

confidence: 99%

How does sovereign bond volatility interact between African countries?

Emenike

2022

JDQS

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“…In addition, the banking sector faced the severity of the Asian crisis and had lending issues. Following the Asian crisis, ASEAN members tried to avoid future financial shocks by diversification by developing their bond markets (Plummer & Click, 2005;Kim & Lee, 2012;Tsang et al, 2021;Rughoo & You, 2016). Bond markets are essential in funding major investment projects with high investment requirements in emerging markets.…”

Section: Literature Reviewmentioning

confidence: 99%

Impact of Brexit on bond yields and volatility spillover across France, Germany, UK, USA, and India’s debt markets

Nagarakatte

Natchimuthu

2022

Investment Management and Financial Innovations

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Britain’s decision to exit the EU lead to disruptions in global markets. This study investigates the change in the return and volatility spillover pattern due to the repercussions of the Brexit vote between the US, France, the UK, Germany, and India’s 10-year government bond yields by applying the VAR and GARCH-BEKK models. The findings demonstrate a substantial rise in the return spillover to India and USA 10-year government bond yields following the Brexit vote compared to the pre-Brexit vote era. In addition, the results showed evidence of unidirectional volatility spillover from India to France, bidirectional volatility spillover between the USA and India, and unidirectional volatility spillover from the UK to India 10-year government bond market post-Brexit vote. However, there was no interconnection between these markets before the Brexit vote. Therefore, the Brexit vote did affect and significantly increased the linkage between the US, France, the UK, and India’s 10-year government bond market. The increase in correlation in India-US, India-UK, and India-France’s 10-year government bond markets will help predict and have an important implication for hedgers, decision-makers, and portfolio managers if similar political events occur in the future.

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“…The other strand of literature focuses on empirical scrutiny of the volatility spillover among developed, emerging and frontier bond markets. Claeys & Vasicek (2012), Azis et al (2013), Belke et al (2018) and Tsang et al (2021) examined the linkage and direction of sovereign bond market volatility among European countries and Asia, USA and Europe, respectively. They documented the existence of significant volatility spillover among the EU countries' markets and the Asian market reacted substantially to the US and Eurozone markets, even though heterogeneity was observed in the direction of spillover.…”

Section: Literature Reviewmentioning

confidence: 99%

Volatility Spillover Across Sovereign Bond Markets Between African, Emerging and USA Economies

Wajebo

2022

Economics and Business

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This study attempted to examine the volatility spillover between the sovereign bond returns of South Africa and Ghana and the emerging market bond return, USA stock market return and the world long term interest rate using weekly data in the period of 2014–2022. The research used dynamic and constant conditional correlation generalized auto-regressive conditional Heteroskedasticsticity models. The result showed that the volatility of long-term world bond interest rate and USA stock market return affected the Ghana sovereign bond return positively and negatively, respectively. Similarly, the volatility of emerging market bond return and long-term world interest rate affected the South African sovereign bond return positively and negatively, respectively. Thus, policy intervention is needed to contain the negative impact of stock market and long-term world interest rates.

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Spillover across sovereign bond markets between the US and ASEAN4 economies

Cited by 11 publications

References 20 publications

How does sovereign bond volatility interact between African countries?

How does sovereign bond volatility interact between African countries?

Impact of Brexit on bond yields and volatility spillover across France, Germany, UK, USA, and India’s debt markets

Volatility Spillover Across Sovereign Bond Markets Between African, Emerging and USA Economies

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