Dynamics of Short and Long Term Debt Market Integration in the South Asian Economies - Theoretical Economics Letters

TEL > Vol.8 No.11, August 2018

Theoretical Economics Letters

Volume 8, Issue 11 (August 2018)

ISSN Print: 2162-2078 ISSN Online: 2162-2086

Google-based Impact Factor: 1.19 Citations h5-index & Ranking

Dynamics of Short and Long Term Debt Market Integration in the South Asian Economies ()

HTML XML

Download as PDF (Size: 1211KB) PP. 2416-2443

DOI: 10.4236/tel.2018.811157 654 Downloads 1,887 Views Citations

Author(s)

Sanjay Sehgal¹, Piyush Pandey², Sakshi Saini¹

Affiliation(s)

¹Department of Financial Studies, University of Delhi, Delhi, India.
²FORE School of Management, B-18, Qutub Institutional Area, Delhi, India.

ABSTRACT

We investigate the extent of financial integration in both short and long term government debt markets of five South Asian economies from January 2004 to May 2016. We employ copula functions and find weak dependencies in their short and long term debt markets. We supplement our analysis using Diebold and Yilmaz spillover index and find low level of return spillover across both short and long term debt markets, thereby reconfirming low level of financial integration in the debt markets of the region. Linkages between short and long term debt markets are also weak suggesting underdeveloped nature of these markets.

KEYWORDS

Short Term Debt Market Integration, Long Term Debt Market Integration, South Asia, Time Varying Copula, Diebold and Yilmaz

Share and Cite:

Sehgal, S. , Pandey, P. and Saini, S. (2018) Dynamics of Short and Long Term Debt Market Integration in the South Asian Economies. Theoretical Economics Letters, 8, 2416-2443. doi: 10.4236/tel.2018.811157.

Cited by

[1]	Economic and Financial Integration in South Asia: A Contemporary Perspective
	2020

[2]	COPULA MODELS FOR DEPENDENCE
	2020

[3]	BOND MARKET LINKAGES IN BRICS
	A Mittal

Journals Menu

Follow SCIRP

	+1 323-425-8868
	customer@scirp.org
	+86 18163351462(WhatsApp)
	1655362766

	Paper Publishing WeChat

Journals Menu

Home

About SCIRP

Service

Policies