Frontier and Emerging Government Bond Markets

50 Pages Posted: 10 Oct 2015

See all articles by Vanja Piljak

Vanja Piljak

University of Vaasa - Department of Accounting and Finance

Laurens Swinkels

Erasmus University Rotterdam (EUR); Robeco Asset Management - Quantitative Investing

Date Written: September 29, 2015

Abstract

We investigate correlation dynamics and diversification properties of US dollar-denominated debt issued by governments of frontier markets. Our analysis is on the aggregate, regional, and country level, with a sample covering 29 countries over the period 2001-2013. We show that the correlation between the returns of frontier government bond markets and US government bonds is time-varying, but on average close to zero. Correlations with US investment grade corporate bonds, US corporate high yield bonds, and US dollar-denominated debt issued by governments of emerging markets are substantially higher, which limits diversification benefits for investors who already own these asset classes.

Keywords: Bonds, Emerging markets, Frontier markets, Diversification

JEL Classification: G11, G12, G15

Suggested Citation

Piljak, Vanja and Swinkels, Laurens, Frontier and Emerging Government Bond Markets (September 29, 2015). Emerging Markets Review, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2610896

Vanja Piljak (Contact Author)

University of Vaasa - Department of Accounting and Finance ( email )

P.O. Box 700
FIN-65101 Vaasa, FI-65101
Finland

Laurens Swinkels

Erasmus University Rotterdam (EUR) ( email )

Burgemeester Oudlaan 50
3000 DR Rotterdam, Zuid-Holland 3062PA
Netherlands

Robeco Asset Management - Quantitative Investing ( email )

Rotterdam, 3000
Netherlands
+31 10 224 2470 (Phone)
+31 10 224 2110 (Fax)

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