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

Jonathan A. Batten, Thomas A. Fetherston, Pongsak Hoontrakul

Research output: Chapter in Book/Report/Conference proceedingChapter

1 Citation (Scopus)

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.

Original languageEnglish
Title of host publicationAsia Pacific Financial Markets in Comparative Perspective: Issues and Implications for the 21st Century
Pages167-176
Number of pages10
Volume86
DOIs
Publication statusPublished - 2006

Publication series

NameContemporary Studies in Economic and Financial Analysis
Volume86
ISSN (Print)15693759

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    Batten, J. A., Fetherston, T. A., & Hoontrakul, P. (2006). A Note on the Equilibrium Relationships between Issuers in the Asia Pacific Region. In Asia Pacific Financial Markets in Comparative Perspective: Issues and Implications for the 21st Century (Vol. 86, pp. 167-176). (Contemporary Studies in Economic and Financial Analysis; Vol. 86). https://doi.org/10.1016/S1569-3759(05)86008-5