This paper employs multivariate GARCH models with a BEKK specification to show significant shock and volatility spillovers from mature bond markets into select emerging Asian local currency bond markets. Results reveal that while the growth of individual bond markets in recent years has been...

Most of the research on the benefits of diversification into emerging markets (EMs) has focused on equity markets. In this research, the focus is on investments in fixed income instruments. Specifically, the research explores the performance benefits of developed markets (DMs) combined with the...

This article is an abridged version of our working paper “Style Factors in Asian Government Bond Markets” (Lim & Lioui, 2020), where we examine the yield curve dynamics and premia in the China, India and Indonesia local currency government debt markets through the lens of Value, Carry and...