حرکت مشترک در بازارهای اوراق قرضه دولتی: آنالیز حداقل درخت پوشا

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.

There is a large body of literature examining evolving linkages between international equity markets, employing a variety of methodologies [1] and [2]. The issue is of great importance not only to policymakers but also to investors, because of the implications for international asset allocation decisions and diversification benefits. Findings generally show that the benefits of international portfolio diversification have likely decreased for equity markets over time as comovements have tended to increase. There is a relatively smaller amount of research examining the evolution of relationships between international bond markets and the impact on diversification benefits. Comovements between bond markets may be influenced over time by a number of factors, including increased monetary policy coordination in regions like the European Union (EU) and European Monetary Union (EMU) and closer alignment of economic fundamentals resulting from increased globalization of product markets [3]. An early study [4] found low correlations between world bond markets, indicating that international diversification of bond market portfolios may be beneficial. Several later studies [5] and [6] indicated increasing correlations across the G7 countries, except for Japan, but determined that benefits from international diversification were still possible. Research on government bond markets in Canada, Germany, Japan, the UK, and the US for the period 1986–1996 [7] concluded that they were only partially integrated, with little change in the extent of integration over the period. Several other recent studies found substantial differences in patterns of correlation across bond markets [3] and [8]. Some research has also focused on the impact of the introduction of a single currency, the euro, on the convergence of EMU government bond markets. Euro-area government bond markets exhibit a fairly high degree of integration; however, liquidity differences, decentralized management of public debt markets, and remaining differences in credit risk between countries, produce continued fragmentation in this market [9]. A dramatic convergence of EMU government bond yield spreads occurred in the run-up to the introduction of the euro in 1999 [10] and [11], with a leveling off thereafter. The present research analyzes the dynamic evolution of linkages between global government bond markets, as well as the impact of the euro on EMU markets, using a methodology drawn from the econophysics literature. Originally suggested by Mantegna [12] minimum spanning tree (MST) analysis involves transforming the correlation matrix of asset returns into distances to produce a connected graph. The procedure provides a parsimonious representation of the correlations between markets and is particularly suitable for extracting the most important information concerning linkages when a large number of markets is under consideration. It also provides an additional tool to measure financial integration, in terms of the “distances” between markets (a decrease in distance indicating an increase in financial integration).1 A dynamic application reveals the evolution of patterns of important connections between global bond markets and helps answer a number of questions concerning their interrelationships. Is there a consistent group of “core” markets which maintain the closest linkages over time? Have bond market comovements increased substantially due to effects of globalization? Is there a substantial difference in linkages between EMU markets and other bond markets as a consequence of the harmonization of policies associated with the introduction of the euro? Our results indicate that the full sample of twenty countries shows a tendency toward decreasing levels of comovements in recent years. In contrast, the EMU subgroup has increased its already high level of integration, while two non-EMU members of the EU, Sweden and the UK, have moved to the fringes of the EMU markets. No single market forms the “center” of the linkages over time, but France, rather than Germany, is the market most closely linked to others over a higher percentage of the time. The implication of our findings is a likely reduction of country diversification benefits for investors across EMU equity markets but somewhat improved benefits from a broader, global portfolio. The paper is organized as follows. Section 2 describes the methodology and Section 3 the data. Section 4 contains the results, while Section 5 presents the conclusions.

The MST methodology has been shown to provide a parsimonious way to examine patterns of linkages between different markets. Applied dynamically, it reveals both consistencies and evolution in relationships between markets over time. The present analysis has shown that the EU markets, specifically the EMU countries, consistently constitute the most tightly linked set of markets. A eurozone of several groupings was apparent early in the period, the most tightly linked being France, Germany, Austria, and the Netherlands, while the Mediterranean countries, Italy, Portugal, and Spain, tended to join the MST and the hierarchical tree relatively late. This latter group has broken down, as Spain has moved to relatively closer linkages with the more advanced EMU members. Overall, the EU markets have shown an increase in correlations and decrease in distances over the period, indicating higher degrees of integration between their markets. In contrast, the full group of twenty markets has in recent years shown a tendency toward lower correlations, reflecting reduced comovement between their markets. Our methodology indicates that no single market forms the “center” of the linkages over time, but that France, rather than Germany, is the market most closely linked to others a higher percentage of the time. We also find that the non-European markets tend to be the last to join the hierarchical tree. The implication is a likely reduction of country diversification benefits for investors across EU equity markets, except for Sweden and the UK, but somewhat improved benefits from a broader, global portfolio.