A study of causality and cointegration effect between the Philippines and Hong Kong, Singapore, United States, Japan, and China government bonds for the years 2010 to 2014
Date of Publication
2015
Document Type
Bachelor's Thesis
Degree Name
Bachelor of Science in Management of Financial Institutions
Subject Categories
Finance and Financial Management
College
Ramon V. Del Rosario College of Business
Department/Unit
Financial Management
Thesis Adviser
Robert Dan Roces
Defense Panel Member
Patrick Caoile
Andrea Hontiveros
Kenneth Yumang
Abstract/Summary
Bonds have been one of the known sources for raising funds in order to finance daily operations of the government and corporations. Government bonds reflect the country's bond market since it is supported by the central government of a country. This study aims to determine the relationship between the bond market of the Philippines and Hong Kong, Singapore, United States, Japan, and China using augmented Dickey-Fuller (ADF) unit root test, vector auto agressive (VAR) model, granger causality test and Johansen multivariate cointegration test using the daily 5-year government bond yield of each country from January 2010 to December 2014. This research aims to identify the existence of unit root, granger causality and cointegration between the bond markets that can help in forecasting the future performance of a bond market.
The results showed that there were unit root in each bond yield. Moreover, there were existence of bidirectional granger causality between the bond market of the Philippines to Hong Kong and Singapore, unidirectional granger causality between the Philippines and Japan, and no granger causality between the Philippines to US and China. Lastly, the results showed that each bond market was not cointegrated with the Philippines.
Abstract Format
html
Language
English
Format
Accession Number
TU21700
Shelf Location
Archives, The Learning Commons, 12F, Henry Sy Sr. Hall
Physical Description
v, 77, [100] leaves : illustrations (some color) ; 28 cm.
Keywords
Bonds--Philippines; Bonds--Hong Kong; Bonds-- Singapore; Bonds--United States; Bonds--Japan; Bond market--Philippines; Bond market--Hong Kong; Bond market--Singapore; Bond market-- United States; Bond market--Japan; Bond market-- China
Recommended Citation
Chua, K., Ong., D. L., Ona, C. M., & Reyes, J. E. (2015). A study of causality and cointegration effect between the Philippines and Hong Kong, Singapore, United States, Japan, and China government bonds for the years 2010 to 2014. Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/6409
