Frontier and emerging government bond markets |
| |
| Institution: | 1. University of Vaasa, Department of Accounting and Finance, P.O. Box 700, FI-65101 Vaasa, Finland;2. Erasmus University Rotterdam, Department of Business Economics, P.O. Box 1738, NL-3000 DR, Rotterdam, The Netherlands;1. Robeco, Investment Research, Coolsingel 120, 3011 AG Rotterdam, The Netherlands;2. Erasmus University Rotterdam, Erasmus School of Economics, Burgemeester Oudlaan 50, 3062 PA Rotterdam, The Netherlands;1. Qatar University, Doha 2713, Qatar;2. Pontifical Catholic University of Argentina;3. CONICET, Av. Alicia Moreau de Justo 1300, C1107AAZ, Buenos Aires, Argentina;4. International School of Management, 17, boulevard Raspail 75007 Paris France |
| |
| Abstract: | We investigate correlation dynamics and diversification properties of US dollar-denominated debt issued by governments of frontier markets. Our analysis is on the aggregate, regional, and country level, with a sample covering 29 countries over the period 2001–2013. We show that the correlation between the returns of frontier government bond markets and US government bonds is time-varying, but on average close to zero. Correlations with US investment grade corporate bonds, US corporate high yield bonds, and US dollar-denominated debt issued by governments of emerging markets are substantially higher, which limits diversification benefits for investors who already own these asset classes. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
