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

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.

Citation

Batten, J.A., Fetherston, T.A. and Hoontrakul, P. (2005), "A Note on the Equilibrium Relationships between Issuers in the Asia Pacific Region", Fetherston, T.A. and Batten, J.A. (Ed.) Asia Pacific Financial Markets in Comparative Perspective: Issues and Implications for the 21st Century (Contemporary Studies in Economic and Financial Analysis, Vol. 86), Emerald Group Publishing Limited, Leeds, pp. 167-176. https://doi.org/10.1016/S1569-3759(05)86008-5