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Dynamic Integration of Emerging Market Bond Yields into the Global Bond Market

Author

Listed:
  • Alain Kabundi
  • Anmar Pretorius

Abstract

This paper investigates empirically the integration of bond markets of emerging market economies into the global bond markets from 2003 to 2012. The paper employs factor analysis based on the Arbitrage Pricing Theory to extract global factors from a panel of 38 bond yields of advanced and emerging market economies.The results reveal that bond yields […]

Suggested Citation

  • Alain Kabundi & Anmar Pretorius, 2014. "Dynamic Integration of Emerging Market Bond Yields into the Global Bond Market," Working Papers 436, Economic Research Southern Africa.
    • Handle: RePEc:rza:wpaper:436
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    File URL: https://econrsa.org/wp-content/uploads/2022/06/working_paper_436.pdf
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    Cited by:

    1. Qin, Weiping & Cho, Sungjun & Hyde, Stuart, 2023. "Time-varying bond market integration and the impact of financial crises," International Review of Financial Analysis, Elsevier, vol. 90(C).

    More about this item

    Keywords

    capital market; Corporate Governance; Macroeconomic Models; Other Macroeconomic Variables;
    All these keywords.

    JEL classification:

    • F15 - International Economics - - Trade - - - Economic Integration
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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