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

• Main Authors: Chua, Kenneth Lawrence O., Ong., Denise Camille L., Ona, Christelle Liz M., Reyes, Jhune Love E.
• Format: text
• Language: English
• Published: Animo Repository 2015
• Subjects: 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; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/6409
• Institution: De La Salle University

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.