Abstract

GURROLA-RIOS, César; BUCIO-PACHECO, Christian  and  SANTILLAN-SALGADO, Roberto Joaquín. Dependence on the Emerging Markets Bond Index in Southeast Asia. Investig. adm. [online]. 2022, vol.51, n.129, 00005.  Epub Feb 21, 2022. ISSN 2448-7678.  https://doi.org/10.35426/iav51n129.05.

The objective is to analyze dynamic dependency relationships in the country risk of Southeast Asia. Under the assumption of non-linear behavior, the research method uses the copula approach with asymptotic dependence and extreme values to study the EMBIs (Emerging Market Bond Index) of China, the Philippines, Indonesia, Malaysia, Sri-Lanka, and Vietnam between February-2013 and March-2020. The empirical results confirm the variant changes in the dependency structures whose dynamics via rolling windows of 252 days. The findings allow us to identify the moments of change in the dependency structure of the EMBIs and reaffirm the regional supremacy of the Chinese market. The originality of the study, when contemplating characteristic elements of financial series in emerging markets, lies in the fact that it can serve agents interested in the preparation of diversified portfolios. The sub-regional nature of the sample used limits the external validity of the conclusions.

Keywords : EMBI; country risk; copulas; dependence; Association of Southeast Asian Nations; C15; F02; F36; G11; G15.