Style Factors in Emerging Asian Government Bond Markets
8 Pages Posted: 22 Jul 2020 Last revised: 23 Jul 2020
Date Written: June 24, 2020
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 Momentum.
Keywords: Style Factors, Value, Carry, Momentum, Sovereign Debt, Asian Emerging Market, China, India, Indonesia, Yield Curve
JEL Classification: G12, G15, G19
Suggested Citation: Suggested Citation