Alteration Of Risk In Asian Bond Markets During And After Mortgage Crisis: Evidence From Value At Risk (Var) Analysis
The bond market is an important source of corporate and national finance. In this study, we analyse the risk level of 10-year government bond yields of four leading Asian countries (South Korea, Japan, Malaysia and Singapore) for two different time intervals: during the period of the mortgage cri...
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| Format: | Article |
| Language: | English |
| Published: |
Asian Academy of Management (AAM)
2016
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| Online Access: | http://eprints.usm.my/37427/ http://eprints.usm.my/37427/1/aamjaf120s16_07.pdf |
| _version_ | 1848878189422575616 |
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| author | Günay, Samet |
| author_facet | Günay, Samet |
| author_sort | Günay, Samet |
| building | USM Institutional Repository |
| collection | Online Access |
| description | The bond market is an important source of corporate and national finance. In this study,
we analyse the risk level of 10-year government bond yields of four leading Asian
countries (South Korea, Japan, Malaysia and Singapore) for two different time intervals:
during the period of the mortgage crisis, and the recovery. Risk measurement is
conducted via Value at Risk (VaR) analysis, with models (GARCH (1.1) and FIGARCH
(1.d.1)) in order to consider changes in variance over time. We also examine the
credibility of VaR analysis via the Kupiec LR and DQ tests. According to the results, the
highest risk level is seen in the Japan bond market for both periods. Another considerable
implication is the significantly rising risk of the Japan bond market, even after the
transition from crisis to recovery period. In addition, it is shown that the risk in the
Malaysia bond market decreases during the recovery period. However, Kupiec LR and
DQ backtesting results demonstrate that this finding is unverifiable. |
| first_indexed | 2025-11-15T17:27:23Z |
| format | Article |
| id | usm-37427 |
| institution | Universiti Sains Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T17:27:23Z |
| publishDate | 2016 |
| publisher | Asian Academy of Management (AAM) |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | usm-374272017-11-15T07:02:31Z http://eprints.usm.my/37427/ Alteration Of Risk In Asian Bond Markets During And After Mortgage Crisis: Evidence From Value At Risk (Var) Analysis Günay, Samet HD28-70 Management. Industrial Management The bond market is an important source of corporate and national finance. In this study, we analyse the risk level of 10-year government bond yields of four leading Asian countries (South Korea, Japan, Malaysia and Singapore) for two different time intervals: during the period of the mortgage crisis, and the recovery. Risk measurement is conducted via Value at Risk (VaR) analysis, with models (GARCH (1.1) and FIGARCH (1.d.1)) in order to consider changes in variance over time. We also examine the credibility of VaR analysis via the Kupiec LR and DQ tests. According to the results, the highest risk level is seen in the Japan bond market for both periods. Another considerable implication is the significantly rising risk of the Japan bond market, even after the transition from crisis to recovery period. In addition, it is shown that the risk in the Malaysia bond market decreases during the recovery period. However, Kupiec LR and DQ backtesting results demonstrate that this finding is unverifiable. Asian Academy of Management (AAM) 2016 Article PeerReviewed application/pdf en http://eprints.usm.my/37427/1/aamjaf120s16_07.pdf Günay, Samet (2016) Alteration Of Risk In Asian Bond Markets During And After Mortgage Crisis: Evidence From Value At Risk (Var) Analysis. Asian Academy of Management Journal of Accounting and Finance, 12 (1). pp. 1-24. ISSN 1823-4992 http://web.usm.my/journal/aamjaf/12-s-7-2016.html |
| spellingShingle | HD28-70 Management. Industrial Management Günay, Samet Alteration Of Risk In Asian Bond Markets During And After Mortgage Crisis: Evidence From Value At Risk (Var) Analysis |
| title | Alteration Of Risk In Asian Bond Markets
During And After Mortgage Crisis: Evidence
From Value At Risk (Var) Analysis |
| title_full | Alteration Of Risk In Asian Bond Markets
During And After Mortgage Crisis: Evidence
From Value At Risk (Var) Analysis |
| title_fullStr | Alteration Of Risk In Asian Bond Markets
During And After Mortgage Crisis: Evidence
From Value At Risk (Var) Analysis |
| title_full_unstemmed | Alteration Of Risk In Asian Bond Markets
During And After Mortgage Crisis: Evidence
From Value At Risk (Var) Analysis |
| title_short | Alteration Of Risk In Asian Bond Markets
During And After Mortgage Crisis: Evidence
From Value At Risk (Var) Analysis |
| title_sort | alteration of risk in asian bond markets
during and after mortgage crisis: evidence
from value at risk (var) analysis |
| topic | HD28-70 Management. Industrial Management |
| url | http://eprints.usm.my/37427/ http://eprints.usm.my/37427/ http://eprints.usm.my/37427/1/aamjaf120s16_07.pdf |