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- W3124579424 abstract "Using international bond market data for the United States, Canada, United Kingdom, Germany, France, and Japan, several hypotheses are investigated. Market efficiency is addressed by testing for seasonality and cointegration. The seasonality results are mixed. When employing regression, a January effect is detected in several markets (United States, Germany, France, United Kingdom, and Canada) using local currencies. However, when using a nonparametric test, the January effect is supported only for France. Using U.S. dollar returns, regression results also detect a January effect for several markets (United States, Germany, France, and the United Kingdom). These results are not confirmed by a nonparametric test. Correlation analysis shows considerable diversification opportunities for short-term investors, with correlations rising over long horizons. Cointegration tests indicate that several of the markets share cointegrating vectors, increasing the possibilities of using other endogenous bond markets to better predict movements in a particular market." @default.
- W3124579424 created "2021-02-01" @default.
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- W3124579424 date "2001-03-21" @default.
- W3124579424 modified "2023-09-23" @default.
- W3124579424 title "Government Bond Market Seasonality, Diversification and Cointegration: International Evidence" @default.
- W3124579424 hasPublicationYear "2001" @default.
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