پویایی در میان اوراق قرضه دولتی G7 و بازارهای سهام و مفاهیم بین المللی تنوع بازار سرمایه

This paper investigates potential international capital market diversification gains from relationships between global government bond and equity markets. Its primary contributions are (1) including both government debt and equity markets in the investigation of global diversification gains, (2) basing the analysis on real, risk-adjusted returns, and (3) evaluating both variance decompositions and impulse responses, as well as long-term relationships for international U.S. dollar investors. We find the cointegration, variance decomposition, and impulse response function results indicate interdependence and reduction in gains to international diversification.

As a result of increased capital and information flows, an extensive body of research has focused on increased linkages among international stock markets; less research has investigated relationships among world bond markets; and until recently, even less attention has been given to relationships among bond and equity markets. Following an early study by Agmon (1972), which finds substantial correlation among U.S., U.K., German, and Japanese equity markets, numerous studies have investigated relationships among worldwide stock markets with the general consensus that international diversification benefits exist across equity markets. Early bond studies also demonstrate the benefit of international diversification. For example, Solnik (1974) makes a case for international diversification of bond portfolios by showing that risk is reduced when foreign bonds are added to a U.S. bond portfolio. The relatively small amount of research dealing with linkages of world government bond and world equity markets is surprising given the attention paid to these international financial markets separately. Much of the previous work has been primarily limited to the relationships between bond and equity markets within the U.S. only. There is a growing literature, however, which studies the relations among cross-border stock–bond relations. This study contributes to this expanding literature. It encompasses stock and bond markets in major capital markets around the world as represented by the G7 countries. Using the U.S. government bond market as the benchmark, the study investigates linkages across asset classes (government bonds and equities) and across national borders. The study extends the literature in several dimensions. A primary contribution is testing diversification benefits using, not just real returns, but real, risk-adjusted returns. Real terms remove the effect of inflation, but without adjusting for risk, the data indicate that stocks have performed better than government bonds since the early 19th century (Siegel, 2002). After adjusting for risk, however, stock performance is no longer consistently superior to that of bonds. Fig. 1 plots the nominal, risk-unadjusted U.S. government bond and equity markets, the U.S. stock market being much more volatile than the government bond market. Once the data are adjusted for inflation and risk, the differences virtually disappear as shown in Fig. 2. Full-size image (33 K)

This paper investigates the relationships between global government bond and equity markets. Specifically, the study focuses on government debt markets and the equity markets of seven major countries: U.S., Japan, Germany, France, U.K., Canada, and Italy. Major contributions of the paper include: (1) the analyses are based on real, risk-adjusted returns across seven major government bond and seven major equity markets, and (2) long-term relationships are examined along with variance decompositions and impulse response functions. Using 13-month moving average correlations to evaluate short-term relationships and 13-month recursive correlations to evaluate long-term relationships, results reveal that diversification gains are possible both in the short- and long-run. For the U.S. investor, the largest diversification gains occur from combining U.S. government bonds and Japanese equities in both the short- and long-term. Cointegration analysis, which provides an additional method for investigating long-term relationships reveals that there are three cointegrating vectors when the eight endogenous variables include the U.S. government bond market and the G7 equity markets system. In addition, when the eight endogenous variable system includes the U.S. equity market and the G7 government bond markets, seven cointegrating vectors result. These cointegrating vectors represent long-term, mean-reverting relationships and indicate long-run interdependence among the markets and suggest that comovement among the markets reduces gains from international diversification. Variance decompositions and impulse response functions provide further information about the linkages. VDC results indicate some degree of interdependence among the markets which reduces gains from diversification. Most of the markets, however, are relatively independent in that they explain more of their own forecast error variance than any other market. The impulse response results show that greater gains are associated when cross-assets (e.g., U.S. stock and bonds) are mixed in a portfolio. Such a portfolio exhibits greater independence among the markets.