全球大流行期间债券市场溢出网络：我们从东盟4国市场学到的经验（英）

ADBI Working Paper Series BOND MARKET SPILLOVER NETWORKS DURING THE GLOBAL PANDEMIC: WHAT WE LEARNED FROM ASEAN-4 MARKETS Gazi Salah Uddin, Muhammad Yahya, Donghyun Park, Axel Hedström, and Shu Tian No. 1360 February 2023 Asian Development Bank Institute The Working Paper series is a continuation of the formerly named Discussion Paper series; the numbering of the papers continued without interruption or change. ADBI’s working papers reflect initial ideas on a topic and are posted online for discussion. Some working papers may develop into other forms of publication. Suggested citation: Uddin, G. S., M. Yahya, D. Park, A. Hedström, and S. Tian. 2023. Bond Market Spillover Networks during the Global Pandemic: What We Learned from ASEAN-4 Markets. ADBI Working Paper 1360. Tokyo: Asian Development Bank Institute. Available: https://doi.org/10.56506/ZDNQ3203 Please contact the authors for information about this paper. Email: gazi.salah.uddin@liu.se, muhammad.yahya@inn.no, dpark@adb.org, axel.hedstrom@liu.se, Stian@adb.org Gazi Salah Uddin is a professor of financial economics at the Department of Management and Engineering, Linköping University, Sweden. Muhammad Yahya is an associate professor at Inland Norway University of Applied Sciences, Campus Lillehammer, Norway. Donghyun Park is an economic advisor (Strategic Knowledge Initiatives) at the Economic Research and Regional Cooperation Department (ERCD), Asian Development Bank (ADB). Axel Hedström is a PhD candidate at the Department of Management and Engineering, Linköping University, Linköping, Sweden. Shu Tian is a senior economist at ERCD, ADB. The views expressed in this paper are the views of the author and do not necessarily reflect the views or policies of ADBI, ADB, its Board of Directors, or the governments they represent. ADBI does not guarantee the accuracy of the data included in this paper and accepts no responsibility for any consequences of their use. Terminology used may not necessarily be consistent with ADB official terms. Discussion papers are subject to formal revision and correction before they are finalized and considered published. Gazi Salah Uddin is thankful for the academic support provided by the Asian Development Bank under an educational research grant of the Primary Bond Information Platform in ASEAN+3 Primary Bond Technical Assistance. An earlier version of the paper was presented at the Linköping University, Sweden; at the School of Business, North South University, Bangladesh; and as the invited keynote talk at the EDT conference, Croatia, and BI-ADBI-APAEA conference, Bali, Indonesia. Asian Development Bank Institute Kasumigaseki Building, 8th Floor 3-2-5 Kasumigaseki, Chiyoda-ku Tokyo 100-6008, Japan Tel: +81-3-3593-5500 Fax: +81-3-3593-5571 URL: www.adbi.org E-mail: info@adbi.org © 2023 Asian Development Bank Institute ADBI Working Paper 1360 G. S. Uddin et al. Abstract During decades of market development, the individual financial markets of the member economies of the Association of Southeast Asian Nations (ASEAN) have been progressively incorporated into regional and international markets. The aim of this study is to explore and measure the strength and direction of the bond market connectedness between Indonesia, Malaysia, the Philippines, and Thailand—collectively known as ASEAN-4—and major global and regional bond markets and to identify various factors affecting spillover effects. This study derives a risk spillover measure based on the attributes of static and dynamic spillover models and empirically examines its role in receiving or transmitting shocks based on different information spillover or contagion channels. In particular, the objective of this study is to evaluate the connectedness dynamics empirically using government bond yields in ASEAN-4 markets, major regional markets (the People’s Republic of China, Japan, and the Republic of Korea), and major global markets (the European Union, the United Kingdom, and the United States). We aim to examine risk spillovers in ASEAN-4 bond markets and identify the potential economic and financial fundamentals driving uncertainty spillovers. We find complex intra-group return and volatility connectedness among ASEAN-4 markets and moderate inter-group return and volatility connectedness between ASEAN-4 and regional and global markets at different time horizons. Keywords: ASEAN-4 bond markets, COVID-19, spillover, uncertainty, volatility JEL Classification: F21, G12, G15, J11, M48, N25, O11 ADBI Working Paper 1360 G. S. Uddin et al. Contents 1. INTRODUCTION ....................................................................................................... 1 2. PILLOVER METHODOLOGY ...............