Comovements in government bond markets: A minimum spanning tree analysis

被引：42

作者：

Gilmore, Claire G. ^{[1
]}

Lucey, Brian M. ^{[2
,3
,4
]}

Boscia, Marian W. ^{[1
]}

机构：

[1] Kings Coll, McGowan Sch Business, Wilkes Barre, PA 18711 USA

[2] Trinity Coll Dublin, Sch Business, Dublin 2, Ireland

[3] Trinity Coll Dublin, Inst Int Integrat Studies, Dublin 2, Ireland

[4] Glasgow Caledonian Univ, Caledonian Business Sch, Glasgow G4 OBA, Lanark, Scotland

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2010年 / 389卷 / 21期

关键词：

Government bonds; Comovement; Minimum spanning trees;

D O I：

10.1016/j.physa.2010.06.057

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

The concept of a minimum spanning tree (MST) is used to study patterns of comovements for a set of twenty government bond market indices for developed North American, European, and Asian countries. We show how the MST and its related hierarchical tree evolve over time and describe the dynamic development of market linkages. Over the sample period, 1993-2008, linkages between markets have decreased somewhat. However, a subset of European Union (EU) bond markets does show increasing levels of comovements. The evolution of distinct groups within the Eurozone is also examined. The implications of our findings for portfolio diversification benefits are outlined. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：4875 / 4886

页数：12

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