دانلود رایگان مقاله همبستگی بلندمدت و تقسیم بازار در بازار اوراق قرضه

abstract

This paper investigates the long-range auto-correlations and cross-correlations in bond market. Based on Detrended Moving Average (DMA) method, empirical results present a clear evidence of long-range persistence that exists in one year scale. The degree of long-range correlation related to maturities has an upward tendency with a peak in short term. These findings confirm the expectations of fractal market hypothesis (FMH). Furthermore, we have developed a method based on a complex network to study the long-range cross-correlation structure and applied it to our data, and found a clear pattern of market segmentation in the long run. We also detected the nature of long-range correlation in the sub-period 2007 to 2012 and 2011 to 2016. The result from our research shows that long-range auto-correlations are decreasing in the recent years while long-range cross-correlations are strengthening.

4. Conclusions

In this paper, long-range correlations between interest rates are studied in a relatively large sample of bonds. We have found a clear evidence of long-range dependence and persistence in one year scale. We have also detected the longrange correlation of some typical bonds varying over their maturities, and found some different features compared with other countries, which can be explained with the expectations of fractal market hypothesis. Then we construct a longrange cross-correlation network to study the influence structure between bonds, and find that bond market exhibits segmentation pattern even in long run. What is more, we also detect long-range auto-correlation and cross-correlation in different periods of time. The result suggests a decrease in the degree of autocorrelations but an increase in cross-correlations in recent years, which can be seen as a mark of market maturity.