TY - CHAP
T1 - A Note on the Equilibrium Relationships between Issuers in the Asia Pacific Region
AU - Batten, Jonathan A.
AU - Fetherston, Thomas A.
AU - Hoontrakul, Pongsak
PY - 2006
Y1 - 2006
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=33645954587&partnerID=8YFLogxK
U2 - 10.1016/S1569-3759(05)86008-5
DO - 10.1016/S1569-3759(05)86008-5
M3 - Chapter
SN - 0762312580
SN - 9780762312580
VL - 86
T3 - Contemporary Studies in Economic and Financial Analysis
SP - 167
EP - 176
BT - Asia Pacific Financial Markets in Comparative Perspective: Issues and Implications for the 21st Century
ER -