A multi country study of co-integration on bonds yields in selected five Asia Pacific countries.

• Main Authors: Cheng, Fan Fah, Md Nasir, Annuar, Ang, Gaik Gee
• Format: Book Section
• Language: English
• Published: Universiti Putra Malaysia Press 2012
• Online Access: http://psasir.upm.edu.my/id/eprint/26164/

In this paper, we study the dynamic relationship of bond yields in Malaysia, Singapore, Thailand, India, and Japan by using 43 observations for the period of 2007 to July 2010. This study analyzes the government bond returns and the yields curve for the five countries with different term to maturity of 2 years, 5 years, 10 years, 15 years, and 20 years. The results indicate that the yields on government bond for the five countries are all consistent with the term structure of interest rate theory where the yields to maturity increase as the term to maturity increase during the period of 2007 to 2010. There is also evidence supporting the yields to maturity for all five countries are significantly stationary at order one or I(1). Moreover, the finding also show that there are a few groups of countries was found co-integration with one vector. In long run, the result find that between the group of countries, Malaysia and India, Singapore and Thailand, and Singapore and India, the bond returns for the 15 years term to maturity are co-integrated with at least one co-integrating vectors.