期刊名称：International Journal of Academic Research in Business and Social Sciences
电子版ISSN：2222-6990
出版年度：2012
卷号：2
期号：1
页码：220-229
出版社：Human Resource Management Academic Research Society
摘要：In this paper, we study the dynamic relationship of bond yields of 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 5 years and 15 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 findings also show that there are a few groups of countries were found co-integration with one vector. In long run, the results find that between the group of countries, Malaysia and India, Singapore and Thailand, and Singapore and India, the bond returns for the 5 and15 years term to maturity are co-integrated with at least one co-integrating vectors
关键词：Co integration tests; unit root test; dynamics relationship
