Exploring the benefits of international government bond portfolio diversification strategies

Fletcher, Jonathan and Paudyal, Krishna and Santoso, Timbul (2019) Exploring the benefits of international government bond portfolio diversification strategies. European Journal of Finance, 25 (1). pp. 1-15. ISSN 1351-847X (https://doi.org/10.1080/1351847X.2018.1450279)

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Abstract

We use the Bayesian approach of Wang(1998) to examine the diversification benefits of investing in international government bonds. We find that no short selling constraints substantially reduce but do not eliminate the diversification benefits when only investing in G7 government bonds with different maturities. There are significant diversification benefits when using the G7 bonds, an inflation-linked bond index, and emerging market bonds even in the presence of no short selling constraints. The superior performance is driven by the emerging markets bonds. We also find that the diversification benefits vary across different economic states.

ORCID iDs

Fletcher, Jonathan ORCID logoORCID: https://orcid.org/0000-0003-0568-9145, Paudyal, Krishna ORCID logoORCID: https://orcid.org/0000-0002-0372-304X and Santoso, Timbul;
  • Item type:Article
    ID code:63444
    Dates:
    Date
    Event
    31 January 2019
    Published
    20 March 2018
    Published Online
    1 March 2018
    Accepted
    Notes:This is an Accepted Manuscript of an article published by Taylor & Francis in European Journal of Finance , available online: http://www.tandfonline.com/10.1080/1351847X.2018.1450279
    Subjects:Social Sciences > Commerce > Accounting
    Department:Strathclyde Business School > Accounting and Finance
    Depositing user: Pure Administrator
    Date deposited:07 Mar 2018 16:59
    Last modified:11 Nov 2024 11:56
    Related URLs:
    URI:https://strathprints.strath.ac.uk/id/eprint/63444
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